UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number			811-07725
SEASONS SERIES TRUST
(Exact name of registrant as specified in charter)
1999 Avenue of the Stars, Los Angeles, CA					90067-6022
(Address of principal executive offices)					(Zip code)
John T. Genoy Senior Vice President SunAmerica Asset Management, LLC Harborside Financial Center, 3200 Plaza 5 Jersey City, NJ 07311
(Name and address of agent for service)
Registrant’s telephone number, including area code:				(201) 324-6414
Date of fiscal year end:	March 31
Date of reporting period:		March 31, 2016

Item 1. Reports to Stockholders

SEASONS SERIES TRUST

ANNUAL REPORT
MARCH 31, 2016

Table of Contents

Shareholder Letter	2
Expense Example	3
Seasons Strategies
Multi-Managed Growth Portfolio	6
Multi-Managed Moderate Growth Portfolio	34
Multi-Managed Income/Equity Portfolio	65
Multi-Managed Income Portfolio	91
Asset Allocation: Diversified Growth Portfolio	117
Stock Portfolio	160
Seasons Select
Large Cap Growth Portfolio	166
Large Cap Value Portfolio	174
Mid Cap Growth Portfolio	183
Mid Cap Value Portfolio	199
Small Cap Portfolio	212
International Equity Portfolio	227
Diversified Fixed Income Portfolio	241
Real Return Portfolio	295
Seasons Focused
SA Columbia Focused Growth Portfolio*	299
SA Columbia Focused Value Portfolio*	302
Seasons Managed Allocation
Allocation Growth Portfolio	305
Allocation Moderate Growth Portfolio	307
Allocation Moderate Portfolio	309
Allocation Balanced Portfolio	311
Statements of Assets and Liabilities	313
Statements of Operations	321
Statements of Changes in Net Assets	325
Notes to Financial Statements	332
Financial Highlights	379
Report of Independent Registered Public Accounting Firm	393
Approval of Advisory and Subadvisory Agreements	394
Trustees and Officers Information	407
Shareholders Tax Information	409
Comparisons: Portfolios vs. Indexes	412
Supplement to Prospectus	448
Proxy Vote	453

* Effective July 29, 2015, the names of the Focus Growth Portfolio and Focus Value Portfolio changed to SA Columbia Focused Growth Portfolio and SA Columbia Focused Value Portfolio, respectively.

Dear Seasons Series Trust Investor:

We are pleased to present the annual report for Seasons Series Trust, the underlying investment for the Seasons family of variable annuities issued by our affiliated life companies.

This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended March 31, 2016.

If you have any questions regarding your investment, please contact your investment representative, or you may contact us directly at 1-800-445-SUN2.

Sincerely,

John T. Genoy
President
Seasons Series Trust

Note: All performance figures quoted are for the Seasons Series Trust. They do not reflect fees and charges associated with the variable annuity. Past performance is no guarantee of future results. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 59¹/₂, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.

Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growth stocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potential for loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations in foreign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws, and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividend policies or the availability of capital resources.

Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than more diverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions in the real estate industry, changes in property values, dependency on real estate management, and other risks associated with a concentration in one sector or geographic region. Investments in securities related to gold and other precious metals and minerals are speculative and impacted by a host of worldwide economic, financial and political factors.

Investments in debt securities are subject to credit risk (i.e., the risk that an issuer might not pay interest when due or repay principal at maturity of the obligation). Investments in lower-rated bonds and "junk bonds" are considered speculative due to the heightened risk of default and are subject to unpredictable losses as a result of changes in the issuer's creditworthiness.

Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greater than the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs for the portfolio and underlying portfolios.

There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals, principal strategies, and risks for each Portfolio are provided in the prospectus.

Investments are not guaranteed or endorsed by any bank, is not a deposit or obligation of any bank, and is not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.

* Not FDIC or NCUA/NCUSIF Insured
* May Lose Value * No Bank of Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency

2

SEASONS SERIES TRUST
EXPENSE EXAMPLE  March 31, 2016

  (unaudited)

Disclosure of Portfolio Expenses in Shareholder Reports

As a shareholder of a Portfolio in the Seasons Series Trust (the "Trust''), you incur ongoing costs, including management fees and/or service (12b-1) fees and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at October 1, 2015 and held until March 31, 2016. Shares of the Trust are not offered directly to the public. Instead, shares are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies ("Variable Contracts'') offered by life insurance companies affiliated with SunAmerica Asset Management, LLC, the Trust's investment adviser and manager. The fees and expenses associated with the Variable Contracts are not included in these examples, and had such fees and expenses been included, your costs would have been higher. Please see your Variable Contract prospectus for more details on the fees associated with the Variable Contract.

Actual Expenses

The "Actual" section of the table provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled "Expenses Paid During the Six Months Ended March 31, 2016" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended March 31, 2016" column and the "Annualized Expense Ratio" column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the "Expenses Paid During the Six Months Ended March 31, 2016" column would have been higher and the "Ending Account Value" column would have been lower.

Hypothetical Example for Comparison Purposes

The "Hypothetical" section of the table provides information about hypothetical account values and hypothetical expenses based on each Portfolio's actual expense ratio and an annual rate of return of 5% before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The "Expenses Paid During the Six Months Ended March 31, 2016" column and the "Annualized Expense Ratio" column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the "Expenses Paid During the Six Months Ended March 31, 2016" column would have been higher and the "Ending Account Value" column would have been lower.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses that may be charged by the Variable Contracts. Please refer to your variable contract prospectus for more information. Therefore, the "Hypothetical" example is useful in comparing ongoing costs and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have been higher.

3

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  March 31, 2016

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at October 1, 2015		Ending Account Value Using Actual Return at March 31, 2016		Expenses Paid During the Six Months Ended March 31, 2016*		Beginning Account Value at October 1, 2015		Ending Account Value Using a Hypothetical 5% Annual Return at March 31, 2016		Expenses Paid During the Six Months Ended March 31, 2016*		Annualized Expense Ratio*
Multi-Managed Growth
Class 1	$	1,000.00	$	1,035.40	$	6.16	$	1,000.00	$	1,018.95	$	6.11		1.21	%
Class 2	$	1,000.00	$	1,034.84	$	6.92	$	1,000.00	$	1,018.20	$	6.86		1.36	%
Class 3	$	1,000.00	$	1,034.49	$	7.43	$	1,000.00	$	1,017.70	$	7.36		1.46	%
Multi-Managed Moderate Growth
Class 1	$	1,000.00	$	1,035.02	$	5.39	$	1,000.00	$	1,019.70	$	5.35		1.06	%
Class 2	$	1,000.00	$	1,033.91	$	6.15	$	1,000.00	$	1,018.95	$	6.11		1.21	%
Class 3	$	1,000.00	$	1,033.37	$	6.66	$	1,000.00	$	1,018.45	$	6.61		1.31	%
Multi-Managed Income/ Equity
Class 1	$	1,000.00	$	1,031.64	$	5.23	$	1,000.00	$	1,019.85	$	5.20		1.03	%
Class 2	$	1,000.00	$	1,030.77	$	5.99	$	1,000.00	$	1,019.10	$	5.96		1.18	%
Class 3	$	1,000.00	$	1,030.99	$	6.50	$	1,000.00	$	1,018.60	$	6.46		1.28	%
Multi-Managed Income
Class 1	$	1,000.00	$	1,028.43	$	5.27	$	1,000.00	$	1,019.80	$	5.25		1.04	%
Class 2	$	1,000.00	$	1,027.49	$	6.03	$	1,000.00	$	1,019.05	$	6.01		1.19	%
Class 3	$	1,000.00	$	1,026.51	$	6.54	$	1,000.00	$	1,018.55	$	6.51		1.29	%
Asset Allocation: Diversified Growth#
Class 1	$	1,000.00	$	1,031.26	$	5.08	$	1,000.00	$	1,020.00	$	5.05		1.00	%
Class 2	$	1,000.00	$	1,029.29	$	5.83	$	1,000.00	$	1,019.25	$	5.81		1.15	%
Class 3	$	1,000.00	$	1,028.89	$	6.34	$	1,000.00	$	1,018.75	$	6.31		1.25	%
Stock
Class 1	$	1,000.00	$	1,027.01	$	4.41	$	1,000.00	$	1,020.65	$	4.39		0.87	%
Class 2	$	1,000.00	$	1,026.17	$	5.17	$	1,000.00	$	1,019.90	$	5.15		1.02	%
Class 3	$	1,000.00	$	1,026.00	$	5.67	$	1,000.00	$	1,019.40	$	5.65		1.12	%
Large Cap Growth
Class 1	$	1,000.00	$	1,059.53	$	4.22	$	1,000.00	$	1,020.90	$	4.14		0.82	%
Class 2	$	1,000.00	$	1,058.79	$	4.99	$	1,000.00	$	1,020.15	$	4.90		0.97	%
Class 3	$	1,000.00	$	1,057.75	$	5.50	$	1,000.00	$	1,019.65	$	5.40		1.07	%
Large Cap Value
Class 1	$	1,000.00	$	1,068.43	$	4.03	$	1,000.00	$	1,021.10	$	3.94		0.78	%
Class 2	$	1,000.00	$	1,067.77	$	4.81	$	1,000.00	$	1,020.35	$	4.70		0.93	%
Class 3	$	1,000.00	$	1,066.85	$	5.32	$	1,000.00	$	1,019.85	$	5.20		1.03	%
Mid Cap Growth
Class 1	$	1,000.00	$	1,025.32	$	4.86	$	1,000.00	$	1,020.20	$	4.85		0.96	%
Class 2	$	1,000.00	$	1,024.87	$	5.62	$	1,000.00	$	1,019.45	$	5.60		1.11	%
Class 3	$	1,000.00	$	1,023.99	$	6.12	$	1,000.00	$	1,018.95	$	6.11		1.21	%
Mid Cap Value
Class 1	$	1,000.00	$	1,047.30	$	4.66	$	1,000.00	$	1,020.45	$	4.60		0.91	%
Class 2	$	1,000.00	$	1,046.12	$	5.42	$	1,000.00	$	1,019.70	$	5.35		1.06	%
Class 3	$	1,000.00	$	1,045.60	$	5.93	$	1,000.00	$	1,019.20	$	5.86		1.16	%
Small Cap
Class 1	$	1,000.00	$	1,014.39	$	4.63	$	1,000.00	$	1,020.40	$	4.65		0.92	%
Class 2	$	1,000.00	$	1,012.67	$	5.38	$	1,000.00	$	1,019.65	$	5.40		1.07	%
Class 3	$	1,000.00	$	1,012.46	$	5.89	$	1,000.00	$	1,019.15	$	5.91		1.17	%

4

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  March 31, 2016

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at October 1, 2015		Ending Account Value Using Actual Return at March 31, 2016		Expenses Paid During the Six Months Ended March 31, 2016*		Beginning Account Value at October 1, 2015		Ending Account Value Using a Hypothetical 5% Annual Return at March 31, 2016		Expenses Paid During the Six Months Ended March 31, 2016*		Annualized Expense Ratio*
International Equity#
Class 1	$	1,000.00	$	1,004.34	$	4.61	$	1,000.00	$	1,020.40	$	4.65		0.92	%
Class 2	$	1,000.00	$	1,002.48	$	5.36	$	1,000.00	$	1,019.65	$	5.40		1.07	%
Class 3	$	1,000.00	$	1,001.60	$	5.85	$	1,000.00	$	1,019.15	$	5.91		1.17	%
Diversified Fixed Income
Class 1	$	1,000.00	$	1,022.64	$	3.44	$	1,000.00	$	1,021.60	$	3.44		0.68	%
Class 2	$	1,000.00	$	1,022.56	$	4.20	$	1,000.00	$	1,020.85	$	4.19		0.83	%
Class 3	$	1,000.00	$	1,021.22	$	4.70	$	1,000.00	$	1,020.35	$	4.70		0.93	%
Real Return
Class 1	$	1,000.00	$	1,019.89	$	3.13	$	1,000.00	$	1,021.90	$	3.13		0.62	%
Class 3	$	1,000.00	$	1,018.18	$	4.39	$	1,000.00	$	1,020.65	$	4.39		0.87	%
SA Columbia Focused Growth#
Class 1	$	1,000.00	$	966.71	$	3.64	$	1,000.00	$	1,021.30	$	3.74		0.74	%
Class 2	$	1,000.00	$	965.56	$	4.37	$	1,000.00	$	1,020.55	$	4.50		0.89	%
Class 3	$	1,000.00	$	966.00	$	4.87	$	1,000.00	$	1,020.05	$	5.00		0.99	%
SA Columbia Focused Value#
Class 1	$	1,000.00	$	1,061.50	$	3.71	$	1,000.00	$	1,021.40	$	3.64		0.72	%
Class 2	$	1,000.00	$	1,060.92	$	4.48	$	1,000.00	$	1,020.65	$	4.39		0.87	%
Class 3	$	1,000.00	$	1,060.39	$	5.00	$	1,000.00	$	1,020.15	$	4.90		0.97	%
Allocation Growth#
Class 3	$	1,000.00	$	1,031.23	$	0.76	$	1,000.00	$	1,024.25	$	0.76		0.15	%
Allocation Moderate Growth#
Class 3	$	1,000.00	$	1,030.88	$	0.56	$	1,000.00	$	1,024.45	$	0.56		0.11	%
Allocation Moderate#
Class 3	$	1,000.00	$	1,029.13	$	0.56	$	1,000.00	$	1,024.45	$	0.56		0.11	%
Allocation Balanced#
Class 3	$	1,000.00	$	1,027.20	$	0.61	$	1,000.00	$	1,024.40	$	0.61		0.12	%

*  Expenses are equal to each Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days divided by 366 (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts of the insurance companies.

#  During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived or assumed the "Actual/Hypothetical Ending Account Value" would have been lower and the "Actual/Hypothetical Expenses Paid During the Six Months Ended March 31, 2016" and "Annualized Expense Ratio" would have been higher. If these fees and expenses had not been recouped, the "Actual/Hypothetical Ending Account Value" would have been higher and the "Actual/Hypothetical Expenses Paid During the Six Months Ended March 31, 2016" and the "Annualized Expense Ratio" would have been lower.

5

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Diversified Financial Services	8.8	%
Federal National Mtg. Assoc.	6.6
Medical-Biomedical/Gene	4.0
Medical-Drugs	3.9
Real Estate Investment Trusts	3.3
Web Portals/ISP	3.0
Federal Home Loan Mtg. Corp.	2.4
Computers	2.3
Diversified Banking Institutions	2.2
Banks-Commercial	2.1
Cable/Satellite TV	2.0
Retail-Restaurants	1.9
Finance-Credit Card	1.9
United States Treasury Notes	1.8
Internet Content-Entertainment	1.6
Government National Mtg. Assoc.	1.5
Applications Software	1.4
Electronic Components-Semiconductors	1.4
Electronic Connectors	1.3
E-Commerce/Products	1.3
Computer Services	1.3
Retail-Discount	1.2
Instruments-Controls	1.2
Retail-Building Products	1.2
Cosmetics & Toiletries	1.2
Commercial Services	1.1
Multimedia	1.1
Beverages-Non-alcoholic	1.0
Pharmacy Services	1.0
Aerospace/Defense	0.9
Airlines	0.9
Sovereign	0.9
Tobacco	0.7
Food-Retail	0.7
Industrial Gases	0.7
Commercial Paper	0.7
Chemicals-Diversified	0.7
Food-Confectionery	0.7
E-Commerce/Services	0.7
Medical Instruments	0.6
Electronic Forms	0.6
Enterprise Software/Service	0.6
Athletic Footwear	0.6
United States Treasury Bonds	0.6
Diversified Manufacturing Operations	0.6
Building Products-Cement	0.6
Auto/Truck Parts & Equipment-Original	0.6
Machinery-General Industrial	0.6
Medical-Hospitals	0.6
Cellular Telecom	0.6
Aerospace/Defense-Equipment	0.5
Wireless Equipment	0.5
Containers-Metal/Glass	0.5
Computer Aided Design	0.5
Distribution/Wholesale	0.5
Recreational Vehicles	0.5
Medical-HMO	0.5
Oil Companies-Exploration & Production	0.5
Savings & Loans/Thrifts	0.5
Electronic Design Automation	0.5

Banks-Super Regional	0.5	%
Telephone-Integrated	0.4
Finance-Other Services	0.4
Apparel Manufacturers	0.4
Brewery	0.4
Finance-Consumer Loans	0.4
Cruise Lines	0.4
Retail-Apparel/Shoe	0.4
Telecommunication Equipment	0.4
Finance-Investment Banker/Broker	0.4
Retail-Gardening Products	0.4
Medical Information Systems	0.4
Food-Wholesale/Distribution	0.4
Oil Companies-Integrated	0.4
Food-Misc./Diversified	0.4
Electric-Integrated	0.4
Consulting Services	0.4
Time Deposits	0.4
Entertainment Software	0.4
Metal Processors & Fabrication	0.3
Commercial Services-Finance	0.3
Municipal Bonds & Notes	0.3
Hotels/Motels	0.3
Auto-Cars/Light Trucks	0.3
Engineering/R&D Services	0.3
Retail-Auto Parts	0.3
Data Processing/Management	0.3
Real Estate Management/Services	0.3
Real Estate Operations & Development	0.3
Medical Products	0.3
Computer Software	0.3
Oil-Field Services	0.3
Networking Products	0.3
Pipelines	0.3
Gas-Distribution	0.3
Medical-Generic Drugs	0.3
Toys	0.3
Insurance-Property/Casualty	0.3
Transport-Services	0.3
Electronic Measurement Instruments	0.3
Beverages-Wine/Spirits	0.3
Retail-Video Rentals	0.3
Rubber-Tires	0.2
Insurance-Life/Health	0.2
MRI/Medical Diagnostic Imaging	0.2
Energy-Alternate Sources	0.2
Internet Content-Information/News	0.2
Investment Management/Advisor Services	0.2
Semiconductor Equipment	0.2
Electronic Parts Distribution	0.2
Financial Guarantee Insurance	0.2
Retail-Drug Store	0.2
Office Supplies & Forms	0.2
Medical-Wholesale Drug Distribution	0.2
Retail-Hair Salons	0.2
Therapeutics	0.2
Printing-Commercial	0.2
Electronic Components-Misc.	0.2
Containers-Paper/Plastic	0.2
Schools	0.2

6

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Human Resources	0.2	%
Telecom Services	0.2
Building & Construction Products-Misc.	0.2
Television	0.1
Transport-Truck	0.1
Respiratory Products	0.1
Oil Refining & Marketing	0.1
Water	0.1
Poultry	0.1
Chemicals-Specialty	0.1
Steel-Producers	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Gambling (Non-Hotel)	0.1
Internet Security	0.1
Satellite Telecom	0.1
Engines-Internal Combustion	0.1
Research & Development	0.1
Internet Application Software	0.1
Diagnostic Kits	0.1
Transport-Rail	0.1
Power Converter/Supply Equipment	0.1
Semiconductor Components-Integrated Circuits	0.1
Electric-Generation	0.1
Web Hosting/Design	0.1
Independent Power Producers	0.1
Broadcast Services/Program	0.1
Building-Heavy Construction	0.1
Building-Residential/Commercial	0.1
Publishing-Books	0.1
Food-Dairy Products	0.1
Repurchase Agreements	0.1
Insurance-Multi-line	0.1
Home Furnishings	0.1
Agricultural Chemicals	0.1
Transactional Software	0.1
Chemicals-Fibers	0.1
Housewares	0.1
Medical-Outpatient/Home Medical	0.1
Banks-Mortgage	0.1
Drug Delivery Systems	0.1
Insurance-Mutual	0.1
Trucking/Leasing	0.1
Rental Auto/Equipment	0.1
	107.0	%

*  Calculated as a percentage of net assets

7

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 73.5%
Advertising Services — 0.0%
Marchex, Inc., Class B		2,725	$	12,126
Aerospace/Defense — 0.9%
Northrop Grumman Corp.		1,687		333,857
Teledyne Technologies, Inc.†		2,156		190,030
				523,887
Aerospace/Defense-Equipment — 0.5%
AAR Corp.		3,875		90,171
Moog, Inc., Class A†		575		26,266
United Technologies Corp.		2,021		202,302
				318,739
Agricultural Chemicals — 0.0%
Intrepid Potash, Inc.†		475		527
Airlines — 0.9%
Alaska Air Group, Inc.		1,175		96,374
Hawaiian Holdings, Inc.†		775		36,572
United Continental Holdings, Inc.†		6,587		394,298
				527,244
Apparel Manufacturers — 0.4%
Carter's, Inc.		2,347		247,327
Applications Software — 1.3%
MINDBODY, Inc., Class A†		1,675		22,328
NetSuite, Inc.†		3,669		251,290
Progress Software Corp.†		300		7,236
Salesforce.com, Inc.†		3,361		248,142
ServiceNow, Inc.†		4,148		253,775
				782,771
Athletic Equipment — 0.0%
Nautilus, Inc.†		1,375		26,565
Athletic Footwear — 0.6%
NIKE, Inc., Class B		5,955		366,054
Audio/Video Products — 0.0%
VOXX International Corp.†		425		1,900
Auto/Truck Parts & Equipment-Original — 0.6%
American Axle & Manufacturing Holdings, Inc.†		350		5,387
Dana Holding Corp.		2,300		32,407
Delphi Automotive PLC		3,671		275,398
Tower International, Inc.		1,275		34,680
				347,872
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		3,100		71,021
Banks-Commercial — 1.7%
1st Source Corp.		525		16,716
BancFirst Corp.		750		42,772
BancorpSouth, Inc.		2,000		42,620
Banner Corp.		475		19,969
BBCN Bancorp, Inc.		650		9,873
Capital Bank Financial Corp., Class A		2,050		63,242
Cathay General Bancorp, Class B		775		21,956
Central Pacific Financial Corp.		3,325		72,385

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
Chemical Financial Corp.		300	$	10,707
Citizens & Northern Corp.		200		3,976
City Holding Co.		500		23,890
CoBiz Financial, Inc.		525		6,206
CVB Financial Corp.		3,375		58,894
East West Bancorp, Inc.		49		1,592
FCB Financial Holdings, Inc.†		1,050		34,923
First Commonwealth Financial Corp.		4,150		36,769
First Financial Bancorp		75		1,364
First Interstate BancSystem, Inc.		250		7,032
FNB Corp.		1,225		15,937
Fulton Financial Corp., ClassA		850		11,373
Great Western Bancorp, Inc.		575		15,680
Guaranty Bancorp		325		5,025
MainSource Financial Group, Inc.		275		5,800
National Penn Bancshares, Inc.		550		5,852
OFG Bancorp		2,175		15,203
PacWest Bancorp		3,061		113,716
Sierra Bancorp		225		4,084
Simmons First National Corp., Class A		325		14,648
Southside Bancshares, Inc.		150		3,911
Southwest Bancorp, Inc.		400		6,020
Suffolk Bancorp		1,050		26,502
TCF Financial Corp.		2,025		24,826
UMB Financial Corp.		300		15,489
Union Bankshares Corp.		2,816		69,358
Webster Financial Corp.		175		6,283
West Bancorporation, Inc.		775		14,128
Westamerica Bancorporation		2,525		122,993
Wilshire Bancorp, Inc.		1,475		15,192
				986,906
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.†		1,200		29,124
Beverages-Non-alcoholic — 1.0%
Coca-Cola Co.		12,413		575,839
Beverages-Wine/Spirits — 0.3%
Brown-Forman Corp., Class B		1,489		146,622
Broadcast Services/Program — 0.1%
Nexstar Broadcasting Group, Inc., Class A		700		30,989
Building & Construction Products-Misc. — 0.1%
Gibraltar Industries, Inc.†		1,150		32,890
Building Products-Cement — 0.6%
Continental Building Products, Inc.†		1,900		35,264
Vulcan Materials Co.		2,969		313,437
				348,701
Building-Heavy Construction — 0.0%
MasTec, Inc.†		1,075		21,758
Cable/Satellite TV — 1.4%
Comcast Corp., Class A		10,650		650,502
Time Warner Cable, Inc.		816		166,970
				817,472

8

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Casino Hotels — 0.0%
Boyd Gaming Corp.†		350	$	7,231
Cellular Telecom — 0.5%
T-Mobile US, Inc.†		7,332		280,816
Chemicals-Diversified — 0.7%
Innophos Holdings, Inc.		750		23,183
Olin Corp.		700		12,159
PPG Industries, Inc.		3,213		358,217
				393,559
Chemicals-Fibers — 0.1%
Rayonier Advanced Materials, Inc.		3,500		33,250
Chemicals-Specialty — 0.1%
Minerals Technologies, Inc.		1,025		58,271
OMNOVA Solutions, Inc.†		2,425		13,483
				71,754
Commercial Services — 1.1%
Aramark		4,983		165,037
CoStar Group, Inc.†		796		149,783
HMS Holdings Corp.†		1,725		24,754
Medifast, Inc.		125		3,774
Nielsen Holdings PLC		2,889		152,135
ServiceMaster Global Holdings, Inc.†		4,373		164,774
				660,257
Commercial Services-Finance — 0.3%
EVERTEC, Inc.		300		4,194
Heartland Payment Systems, Inc.		475		45,871
McGraw Hill Financial, Inc.		1,052		104,127
Vantiv, Inc., Class A†		450		24,246
				178,438
Computer Aided Design — 0.5%
ANSYS, Inc.†		1,786		159,775
Aspen Technology, Inc.†		3,975		143,617
				303,392
Computer Services — 1.2%
Amdocs, Ltd.		3,801		229,656
Barracuda Networks, Inc.†		1,225		18,865
Cognizant Technology Solutions Corp., Class A†		3,142		197,003
Convergys Corp.		3,975		110,386
Insight Enterprises, Inc.†		675		19,332
Manhattan Associates, Inc.†		275		15,639
Science Applications International Corp.		1,050		56,007
Unisys Corp.†		4,375		33,688
				680,576
Computer Software — 0.3%
SS&C Technologies Holdings, Inc.		2,623		166,351
Computers — 2.3%
Apple, Inc.		12,303		1,340,904

Security Description	Shares		Value (Note 2)
Consulting Services — 0.4%
Franklin Covey Co.†		375	$	6,596
Verisk Analytics, Inc.†		2,584		206,514
				213,110
Consumer Products-Misc. — 0.0%
CSS Industries, Inc.		425		11,870
Containers-Metal/Glass — 0.5%
Crown Holdings, Inc.†		6,197		307,309
Containers-Paper/Plastic — 0.2%
Graphic Packaging Holding Co.		7,720		99,202
Cosmetics & Toiletries — 1.2%
Colgate-Palmolive Co.		4,203		296,942
Estee Lauder Cos., Inc., Class A		3,952		372,713
				669,655
Cruise Lines — 0.4%
Norwegian Cruise Line Holdings, Ltd.†		4,504		249,026
Data Processing/Management — 0.3%
CSG Systems International, Inc.		2,025		91,449
Fair Isaac Corp.		725		76,915
				168,364
Diagnostic Equipment — 0.0%
Affymetrix, Inc.†		600		8,406
Diagnostic Kits — 0.1%
Quidel Corp.†		3,575		61,705
Disposable Medical Products — 0.0%
Utah Medical Products, Inc.		200		12,508
Distribution/Wholesale — 0.5%
Essendant, Inc.		2,900		92,597
Fastenal Co.		3,721		182,329
Titan Machinery, Inc.†		1,400		16,184
				291,110
Diversified Manufacturing Operations — 0.6%
A.O. Smith Corp.		2,254		172,003
Blount International, Inc.†		425		4,241
Dover Corp.		2,773		178,387
				354,631
Drug Delivery Systems — 0.1%
BioDelivery Sciences International, Inc.†		2,125		6,864
Heron Therapeutics, Inc.†		775		14,717
Revance Therapeutics, Inc.†		425		7,421
				29,002
E-Commerce/Products — 1.3%
Amazon.com, Inc.†		1,228		728,990
E-Commerce/Services — 0.7%
Priceline Group, Inc.†		297		382,821
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		725		13,050
Electric-Generation — 0.1%
Atlantic Power Corp.		14,325		35,240

9

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electric-Integrated — 0.3%
Avista Corp.		225	$	9,176
El Paso Electric Co.		950		43,586
NorthWestern Corp.		250		15,437
PNM Resources, Inc.		700		23,604
Portland General Electric Co.		1,400		55,286
				147,089
Electronic Components-Misc. — 0.2%
Benchmark Electronics, Inc.†		200		4,610
Sanmina Corp.†		1,225		28,640
Stoneridge, Inc.†		3,050		44,408
Vishay Intertechnology, Inc.		875		10,684
ZAGG, Inc.†		1,525		13,740
				102,082
Electronic Components-Semiconductors — 1.4%
Alpha & Omega Semiconductor, Ltd.†		1,650		19,553
Broadcom, Ltd.		1,985		306,683
Intersil Corp., Class A		2,700		36,099
InvenSense, Inc.†		11,800		99,120
Microsemi Corp.†		240		9,194
Rovi Corp.†		5,675		116,394
Silicon Laboratories, Inc.†		175		7,868
Texas Instruments, Inc.		3,860		221,641
				816,552
Electronic Connectors — 1.3%
Amphenol Corp., Class A		8,301		479,964
TE Connectivity, Ltd.		4,165		257,897
				737,861
Electronic Design Automation — 0.5%
Cadence Design Systems, Inc.†		9,706		228,867
Mentor Graphics Corp.		1,950		39,644
				268,511
Electronic Forms — 0.6%
Adobe Systems, Inc.†		3,986		373,887
Electronic Measurement Instruments — 0.3%
National Instruments Corp.		4,915		147,991
Electronic Parts Distribution — 0.2%
Tech Data Corp.†		1,475		113,236
Energy-Alternate Sources — 0.2%
Renewable Energy Group, Inc.†		550		5,192
REX American Resources Corp.†		2,400		133,128
				138,320
Engineering/R&D Services — 0.3%
Argan, Inc.		1,250		43,950
EMCOR Group, Inc.		2,025		98,415
VSE Corp.		575		39,037
				181,402
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		2,825		67,574

Security Description	Shares		Value (Note 2)
Enterprise Software/Service — 0.6%
Tyler Technologies, Inc.†		1,232	$	158,448
Ultimate Software Group, Inc.†		1,027		198,724
Xactly Corp.†		2,050		14,043
				371,215
Entertainment Software — 0.3%
Take-Two Interactive Software, Inc.†		4,550		171,398
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		75		13,616
Finance-Consumer Loans — 0.3%
Nelnet, Inc., Class A		650		25,591
Synchrony Financial†		6,184		177,233
				202,824
Finance-Credit Card — 1.8%
MasterCard, Inc., Class A		4,978		470,421
Visa, Inc., Class A		7,319		559,757
				1,030,178
Finance-Investment Banker/Broker — 0.4%
Cowen Group, Inc., Class A†		4,050		15,431
E*TRADE Financial Corp.†		6,131		150,148
Investment Technology Group, Inc.		1,500		33,150
KCG Holdings, Inc., Class A†		1,575		18,821
				217,550
Finance-Other Services — 0.4%
Intercontinental Exchange, Inc.		749		176,120
MarketAxess Holdings, Inc.		650		81,139
				257,259
Financial Guarantee Insurance — 0.2%
MGIC Investment Corp.†		13,088		100,385
NMI Holdings, Inc., Class A†		1,975		9,974
				110,359
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		175		6,080
Food-Confectionery — 0.7%
Hershey Co.		4,186		385,489
Food-Dairy Products — 0.1%
Dean Foods Co.		2,400		41,568
Food-Misc./Diversified — 0.4%
B&G Foods, Inc.		675		23,497
Darling Ingredients, Inc.†		9,875		130,053
Pinnacle Foods, Inc.		1,125		50,265
				203,815
Food-Retail — 0.7%
Ingles Markets, Inc., Class A		825		30,938
Kroger Co.		10,117		386,975
Smart & Final Stores, Inc.†		250		4,050
				421,963
Food-Wholesale/Distribution — 0.4%
Sysco Corp.		4,606		215,238

10

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Gambling (Non-Hotel) — 0.1%
Isle of Capri Casinos, Inc.†		5,050	$	70,700
Gas-Distribution — 0.3%
AGL Resources, Inc.		425		27,684
Laclede Group, Inc.		550		37,262
New Jersey Resources Corp.		900		32,787
Piedmont Natural Gas Co., Inc.		525		31,411
Southwest Gas Corp.		475		31,279
				160,423
Home Furnishings — 0.1%
Leggett & Platt, Inc.		775		37,510
Hotels/Motels — 0.3%
Diamond Resorts International, Inc.†		575		13,973
Hilton Worldwide Holdings, Inc.		7,662		172,548
				186,521
Housewares — 0.1%
NACCO Industries, Inc., Class A		575		33,011
Human Resources — 0.2%
Barrett Business Services, Inc.		1,225		35,219
Cross Country Healthcare, Inc.†		5,150		59,894
				95,113
Independent Power Producers — 0.1%
Ormat Technologies, Inc.		1,200		49,488
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		500		16,495
Industrial Gases — 0.7%
Air Products & Chemicals, Inc.		2,878		414,576
Instruments-Controls — 1.2%
Honeywell International, Inc.		3,527		395,200
Sensata Technologies Holding NV†		7,044		273,589
Watts Water Technologies, Inc., Class A		75		4,135
				672,924
Insurance-Life/Health — 0.2%
American Equity Investment Life Holding Co.		1,950		32,760
CNO Financial Group, Inc.		3,275		58,688
Primerica, Inc.		800		35,624
				127,072
Insurance-Multi-line — 0.1%
Kemper Corp.		975		28,831
Insurance-Property/Casualty — 0.2%
Ambac Financial Group, Inc.†		150		2,370
First American Financial Corp.		275		10,480
Global Indemnity PLC†		175		5,448
Navigators Group, Inc.†		425		35,645
ProAssurance Corp.		675		34,155
Stewart Information Services Corp.		125		4,535
				92,633

Security Description	Shares		Value (Note 2)
Insurance-Reinsurance — 0.0%
Aspen Insurance Holdings, Ltd.		225	$	10,733
Internet Application Software — 0.1%
Bazaarvoice, Inc.†		20,150		63,472
Internet Content-Entertainment — 1.6%
Facebook, Inc., Class A†		8,319		949,198
Internet Content-Information/News — 0.2%
LinkedIn Corp., Class A†		512		58,547
WebMD Health Corp.†		1,250		78,288
				136,835
Internet Security — 0.1%
AVG Technologies NV†		1,600		33,200
Mimecast, Ltd.†		1,025		9,973
Rapid7, Inc.†		600		7,842
VASCO Data Security International, Inc.†		1,150		17,710
				68,725
Investment Management/Advisor Services — 0.2%
BlackRock, Inc.		347		118,178
Federated Investors, Inc., Class B		300		8,655
				126,833
Lasers-System/Components — 0.0%
Coherent, Inc.†		175		16,083
Machinery-Construction & Mining — 0.0%
Hyster-Yale Materials Handling, Inc.		200		13,320
Machinery-General Industrial — 0.6%
Applied Industrial Technologies, Inc.		675		29,295
DXP Enterprises, Inc.†		1,500		26,340
Kadant, Inc.		1,125		50,805
Roper Technologies, Inc.		1,295		236,687
				343,127
Medical Information Systems — 0.4%
athenahealth, Inc.†		1,630		226,211
Medical Instruments — 0.6%
Boston Scientific Corp.†		13,555		254,970
CONMED Corp.		225		9,437
LivaNova PLC†		725		39,135
NuVasive, Inc.†		500		24,325
SurModics, Inc.†		2,325		42,803
				370,670
Medical Products — 0.2%
Orthofix International NV†		1,737		72,120
Penumbra, Inc.†		100		4,600
Wright Medical Group NV†		2,485		41,251
				117,971
Medical-Biomedical/Gene — 4.0%
Aduro Biotech, Inc.†		150		1,922
Aegerion Pharmaceuticals, Inc.†		1,150		4,255
Alder Biopharmaceuticals, Inc.†		5,316		130,189
Amgen, Inc.		5,093		763,593

11

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Applied Genetic Technologies Corp.†		75	$	1,049
Ardelyx, Inc.†		275		2,137
Arrowhead Pharmaceuticals, Inc.†		3,275		15,785
Atara Biotherapeutics, Inc.†		500		9,515
Avalanche Biotechnologies, Inc.†		425		2,197
Bellicum Pharmaceuticals, Inc.†		1,300		12,155
Biogen, Inc.†		1,533		399,071
Blueprint Medicines Corp.†		400		7,220
Cambrex Corp.†		250		11,000
Celgene Corp.†		5,428		543,289
ChemoCentryx, Inc.†		700		1,743
Coherus Biosciences, Inc.†		700		14,861
Dimension Therapeutics, Inc.†		925		7,243
Edge Therapeutics, Inc.†		1,000		9,150
Halozyme Therapeutics, Inc.†		1,000		9,470
Idera Pharmaceuticals, Inc.†		1,800		3,564
Infinity Pharmaceuticals, Inc.†		1,850		9,749
Karyopharm Therapeutics, Inc.†		1,425		12,711
Kite Pharma, Inc.†		250		11,477
MacroGenics, Inc.†		600		11,250
Merrimack Pharmaceuticals, Inc.†		1,300		10,881
Nivalis Therapeutics, Inc.†		1,300		5,421
Prothena Corp. PLC†		725		29,841
PTC Therapeutics, Inc.†		1,575		10,143
Regeneron Pharmaceuticals, Inc.†		650		234,286
Sage Therapeutics, Inc.†		550		17,633
Spark Therapeutics, Inc.†		500		14,755
Tokai Pharmaceuticals, Inc.†		825		4,628
Trius Therapeutics, Inc. CVR†(1)(3)		3,700		0
Ultragenyx Pharmaceutical, Inc.†		350		22,158
Versartis, Inc.†		525		4,211
				2,348,552
Medical-Drugs — 3.8%
AbbVie, Inc.		8,212		469,069
ACADIA Pharmaceuticals, Inc.†		1,350		37,746
Adamas Pharmaceuticals, Inc.†		875		12,653
Aimmune Therapeutics, Inc.†		350		4,746
Allergan PLC†		1,713		459,135
Amicus Therapeutics, Inc.†		2,775		23,449
Anacor Pharmaceuticals, Inc.†		475		25,389
Bristol-Myers Squibb Co.		8,790		561,505
Chiasma, Inc.†		550		5,038
Chimerix, Inc.†		375		1,916
Dicerna Pharmaceuticals, Inc.†		200		1,072
FibroGen, Inc.†		825		17,564
Global Blood Therapeutics, Inc.†		825		13,085
Immune Design Corp.†		650		8,450
Intra-Cellular Therapies, Inc.†		100		2,780

Security Description	Shares		Value (Note 2)
Medical-Drugs (continued)
Ironwood Pharmaceuticals, Inc.†		14,685	$	160,654
Mallinckrodt PLC†		4,490		275,147
Ophthotech Corp.†		375		15,851
Orexigen Therapeutics, Inc.†		4,425		2,490
Pacira Pharmaceuticals, Inc.†		475		25,166
Prestige Brands Holdings, Inc.†		900		48,051
Radius Health, Inc.†		525		16,506
Relypsa, Inc.†		600		8,130
Synergy Pharmaceuticals, Inc.†		6,050		16,698
TherapeuticsMD, Inc.†		500		3,200
				2,215,490
Medical-Generic Drugs — 0.0%
Amphastar Pharmaceuticals, Inc.†		800		9,600
Avexis, Inc.†		300		8,172
				17,772
Medical-HMO — 0.2%
Centene Corp.†		1,175		72,345
Molina Healthcare, Inc.†		1,025		66,102
				138,447
Medical-Hospitals — 0.5%
Adeptus Health, Inc., Class A†		250		13,885
Universal Health Services, Inc., Class B		2,027		252,807
				266,692
Medical-Outpatient/Home Medical — 0.1%
Addus HomeCare Corp.†		450		7,736
Amsurg Corp.†		325		24,245
				31,981
Medical-Wholesale Drug Distribution — 0.2%
Owens & Minor, Inc.		2,350		94,987
Metal Processors & Fabrication — 0.3%
Rexnord Corp.†		9,557		193,243
MRI/Medical Diagnostic Imaging — 0.2%
Alliance HealthCare Services, Inc.†		2,025		14,560
Surgical Care Affiliates, Inc.†		2,725		126,113
				140,673
Multimedia — 0.8%
Walt Disney Co.		4,809		477,582
Networking Products — 0.2%
NETGEAR, Inc.†		1,050		42,388
Polycom, Inc.†		6,700		74,705
				117,093
Office Furnishings-Original — 0.0%
Interface, Inc.		686		12,718
Office Supplies & Forms — 0.2%
ACCO Brands Corp.†		11,700		105,066
Oil & Gas Drilling — 0.0%
Parker Drilling Co.†		2,525		5,353

12

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Companies-Exploration & Production — 0.2%
Anadarko Petroleum Corp.		1,128	$	52,531
Bill Barrett Corp.†		8,575		53,336
Rex Energy Corp.†		3,700		2,843
Stone Energy Corp.†		5,850		4,622
Unit Corp.†		1,000		8,810
				122,142
Oil Field Machinery & Equipment — 0.0%
Exterran Corp.†		150		2,319
Oil Refining & Marketing — 0.1%
Adams Resources & Energy, Inc.		175		6,997
Alon USA Energy, Inc.		775		7,998
Phillips 66		636		55,071
Western Refining, Inc.		350		10,181
				80,247
Oil-Field Services — 0.3%
Archrock, Inc.		525		4,200
Baker Hughes, Inc.		1,465		64,211
Basic Energy Services, Inc.†		1,125		3,105
Gulfmark Offshore, Inc., Class A†		3,475		21,441
Key Energy Services, Inc.†		7,825		2,890
Pioneer Energy Services Corp.†		2,375		5,225
SEACOR Holdings, Inc.†		1,000		54,450
				155,522
Paper & Related Products — 0.0%
Domtar Corp.		375		15,188
Pharmacy Services — 1.0%
Diplomat Pharmacy, Inc.†		6,432		176,237
Express Scripts Holding Co.†		5,523		379,375
				555,612
Poultry — 0.1%
Pilgrim's Pride Corp.†		1,525		38,735
Sanderson Farms, Inc.		400		36,072
				74,807
Power Converter/Supply Equipment — 0.1%
Advanced Energy Industries, Inc.†		1,700		59,143
Printing-Commercial — 0.2%
Deluxe Corp.		975		60,928
Ennis, Inc.		2,175		42,521
				103,449
Protection/Safety — 0.0%
Landauer, Inc.		675		22,322
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		2,150		42,871
Racetracks — 0.0%
Speedway Motorsports, Inc.		800		15,864
Real Estate Investment Trusts — 2.9%
American Assets Trust, Inc.		875		34,930
American Tower Corp.		5,262		538,671

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Armada Hoffler Properties, Inc.		125	$	1,406
ARMOUR Residential REIT, Inc.		1,325		28,527
Ashford Hospitality Prime, Inc.		116		1,354
Ashford Hospitality Trust, Inc.		375		2,393
Capstead Mtg. Corp.		5,500		54,395
CBL & Associates Properties, Inc.		950		11,305
CoreSite Realty Corp.		2,125		148,771
Cousins Properties, Inc.		250		2,595
CYS Investments, Inc.		13,225		107,651
DCT Industrial Trust, Inc.		450		17,761
DiamondRock Hospitality Co.		925		9,361
EastGroup Properties, Inc.		525		31,694
EPR Properties		550		36,641
Equity LifeStyle Properties, Inc.		325		23,637
FelCor Lodging Trust, Inc.		875		7,105
First Industrial Realty Trust, Inc.		475		10,802
Franklin Street Properties Corp.		800		8,488
Gladstone Commercial Corp.		175		2,867
Government Properties Income Trust		875		15,619
Gramercy Property Trust		1,175		9,929
Hersha Hospitality Trust		1,625		34,677
Hospitality Properties Trust		950		25,232
LTC Properties, Inc.		1,475		66,729
Mack-Cali Realty Corp.		825		19,387
Monogram Residential Trust, Inc.		825		8,135
National Retail Properties, Inc.		350		16,170
Pennsylvania Real Estate Investment Trust		925		20,211
Post Properties, Inc.		500		29,870
Potlatch Corp.		1,700		53,550
PS Business Parks, Inc.		175		17,589
Ramco-Gershenson Properties Trust		1,700		30,651
RLJ Lodging Trust		2,400		54,912
Saul Centers, Inc.		450		23,859
Silver Bay Realty Trust Corp.		200		2,970
Simon Property Group, Inc.		811		168,437
Summit Hotel Properties, Inc.		300		3,591
Taubman Centers, Inc.		300		21,369
				1,703,241
Real Estate Management/Services — 0.3%
Jones Lang LaSalle, Inc.		1,506		176,684
Real Estate Operations & Development — 0.2%
Alexander & Baldwin, Inc.		1,200		44,016
Forestar Group, Inc.†		5,950		77,588
St. Joe Co.†		175		3,001
				124,605
Recreational Vehicles — 0.5%
Polaris Industries, Inc.		2,850		280,668

13

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Research & Development — 0.1%
INC Research Holdings, Inc.†		650	$	26,786
PAREXEL International Corp., Class A†		600		37,638
				64,424
Respiratory Products — 0.1%
Inogen, Inc.†		1,875		84,337
Retail-Apparel/Shoe — 0.4%
Abercrombie & Fitch Co., Class A		1,975		62,291
Children's Place, Inc.		1,875		156,506
Guess?, Inc.		675		12,670
				231,467
Retail-Auto Parts — 0.3%
AutoZone, Inc.†		227		180,849
Retail-Building Products — 1.2%
Lowe's Cos., Inc.		8,881		672,736
Retail-Discount — 1.2%
Big Lots, Inc.		1,250		56,613
Costco Wholesale Corp.		1,573		247,873
Dollar Tree, Inc.†		4,658		384,099
				688,585
Retail-Gardening Products — 0.4%
Tractor Supply Co.		2,530		228,864
Retail-Hair Salons — 0.2%
Regis Corp.†		6,900		104,811
Retail-Jewelry — 0.0%
Movado Group, Inc.		875		24,089
Retail-Pawn Shops — 0.0%
Cash America International, Inc.		500		19,320
Retail-Regional Department Stores — 0.0%
Dillard's, Inc., Class A		150		12,737
Retail-Restaurants — 1.9%
Bloomin' Brands, Inc.		800		13,496
Bob Evans Farms, Inc.		675		31,516
Bravo Brio Restaurant Group, Inc.†		1,500		11,625
Chipotle Mexican Grill, Inc.†		382		179,910
DineEquity, Inc.		75		7,007
Dunkin' Brands Group, Inc.		4,222		199,152
Jack in the Box, Inc.		1,175		75,047
Ruby Tuesday, Inc.†		2,550		13,719
Sonic Corp.		3,500		123,060
Starbucks Corp.		7,531		449,601
				1,104,133
Retail-Video Rentals — 0.3%
Outerwall, Inc.		3,960		146,480
Retail-Vitamins & Nutrition Supplements — 0.0%
Flex Pharma, Inc.†		1,375		15,084

Security Description	Shares		Value (Note 2)
Rubber-Tires — 0.2%
Cooper Tire & Rubber Co.		3,875	$	143,452
Rubber/Plastic Products — 0.0%
Myers Industries, Inc.		300		3,858
Satellite Telecom — 0.1%
DigitalGlobe, Inc.†		3,925		67,902
Savings & Loans/Thrifts — 0.5%
Astoria Financial Corp.		225		3,564
BankFinancial Corp.		175		2,069
Beneficial Bancorp, Inc.†		817		11,185
Capitol Federal Financial, Inc.		175		2,321
Charter Financial Corp.		700		9,450
Flushing Financial Corp.		675		14,593
Investors Bancorp, Inc.		2,200		25,608
Meridian Bancorp, Inc.		5,575		77,604
Northfield Bancorp, Inc.		5,775		94,941
OceanFirst Financial Corp.		625		11,050
Oritani Financial Corp.		1,450		24,606
				276,991
Schools — 0.2%
K12, Inc.†		875		8,654
Strayer Education, Inc.†		1,850		90,187
				98,841
Security Services — 0.0%
Ascent Capital Group, Inc., Class A†		475		7,035
Semiconductor Components-Integrated Circuits — 0.1%
Integrated Device Technology, Inc.†		2,750		56,210
Semiconductor Equipment — 0.2%
Cohu, Inc.		4,700		55,836
Tessera Technologies, Inc.		525		16,275
Xcerra Corp.†		5,800		37,816
				109,927
Steel-Producers — 0.1%
Commercial Metals Co.		450		7,636
Worthington Industries, Inc.		1,575		56,133
				63,769
Telecom Equipment-Fiber Optics — 0.0%
Harmonic, Inc.†		5,375		17,576
Telecom Services — 0.2%
EarthLink Holdings Corp.		6,675		37,847
Ooma, Inc.†		1,881		11,098
Vonage Holdings Corp.†		775		3,542
West Corp.		1,825		41,646
				94,133
Telecommunication Equipment — 0.4%
CommScope Holding Co., Inc.†		5,695		159,005
Plantronics, Inc.		1,675		65,643
				224,648

14

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Telephone-Integrated — 0.1%
Cincinnati Bell, Inc.†		16,500	$	63,855
General Communication, Inc., Class A†		225		4,122
Windstream Holdings, Inc.		2,475		19,008
				86,985
Television — 0.1%
ION Media Networks, Inc.†(1)(3)(10)		2		1,953
Sinclair Broadcast Group, Inc., Class A		2,575		79,181
				81,134
Therapeutics — 0.2%
aTyr Pharma, Inc.†		1,700		6,698
Axsome Therapeutics, Inc.†		1,275		10,965
Cara Therapeutics, Inc.†		350		2,177
Flexion Therapeutics, Inc.†		975		8,970
Mirati Therapeutics, Inc.†		625		13,375
Neurocrine Biosciences, Inc.†		800		31,640
Portola Pharmaceuticals, Inc.†		225		4,590
Proteostasis Therapeutics, Inc.†		525		5,061
Seres Therapeutics, Inc.†		425		11,288
Xencor, Inc.†		625		8,387
Zafgen, Inc.†		125		835
				103,986
Tobacco — 0.7%
Altria Group, Inc.		5,853		366,749
Universal Corp.		475		26,985
				393,734
Toys — 0.3%
Mattel, Inc.		4,606		154,854
Transactional Software — 0.1%
ACI Worldwide, Inc.†		1,700		35,343
Transport-Air Freight — 0.0%
Atlas Air Worldwide Holdings, Inc.†		675		28,532
Transport-Services — 0.2%
Matson, Inc.		2,475		99,421
Transport-Truck — 0.1%
ArcBest Corp.		1,050		22,670
P.A.M. Transportation Services, Inc.†		230		7,084
Swift Transportation Co.†		1,075		20,027
USA Truck, Inc.†		1,925		36,267
				86,048
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		175		10,773
Water — 0.1%
American States Water Co.		2,000		78,720
Web Hosting/Design — 0.1%
Web.com Group, Inc.†		2,650		52,523

Security Description	Shares/ Principal Amount(12)		Value (Note 2)
Web Portals/ISP — 3.0%
Alphabet, Inc., Class C†		2,331	$	1,736,478
Blucora, Inc.†		1,625		8,385
				1,744,863
Wireless Equipment — 0.5%
InterDigital, Inc.		1,775		98,779
Motorola Solutions, Inc.		1,913		144,814
Ubiquiti Networks, Inc.†		1,675		55,727
				299,320
Total Common Stocks (cost $37,642,802)				42,839,220
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.6%
Diversified Banking Institutions — 0.5%
Societe Generale SA FRS 8.25% due 11/29/2018(2)	$	270,000		272,025
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(3)		6,000		1
Insurance-Multi-line — 0.0%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		10,000		10,675
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030		35,000		49,105
Total Preferred Securities/Capital Securities (cost $345,828)				331,806
ASSET BACKED SECURITIES — 8.8%
Diversified Financial Services — 8.8%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.60% due 01/25/2037(4)		22,207		21,478
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		5,000		5,033
Apidos CLO XXI FRS Series 2015-21A, Class A1 2.05% due 07/18/2027*(5)		255,000		252,213
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.01% due 10/25/2034(3)		3,078		2,855
Avery Point VI CLO, Ltd. FRS Series 2015-6A, Class A 2.07% due 08/05/2027*(5)		265,000		262,535
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.74% due 02/10/2051(6)		26,988		27,972

15

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(6)	$	100,000	$	102,028
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.66% due 02/25/2036(4)		44,984		40,002
Bear Stearns Commercial Mtg. Securities Trust Series 2006-PW14, Class A4 5.20% due 12/11/2038(6)		46,923		47,463
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(6)		24,004		24,915
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		3,292		3,165
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		1,164		1,164
Cent CLO, Ltd. FRS Series 2014-22A, Class A1 2.10% due 11/07/2026*(5)		250,000		248,375
CFCRE Commercial Mtg. Trust Series 2016-C3, Class A3 3.87% due 01/10/2048(6)		39,000		41,999
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(6)		39,000		41,697
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(6)		20,000		21,603
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(6)		20,000		21,841
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(6)		35,000		38,571
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.14% due 12/10/2049(6)		8,508		8,903
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.04% due 03/25/2036(4)		30,533		29,001
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 11/15/2044(6)		30,777		31,377
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(6)		28,865		30,113

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.10% due 12/10/2049(6)	$	23,650	$	24,702
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6)		35,000		36,174
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6)		45,267		48,024
Commercial Mtg. Trust Series 2014-CR20, Class A4 3.59% due 11/10/2047(6)		30,000		31,941
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(6)		47,000		49,940
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(6)		46,000		48,898
Commerical Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047(6)		43,000		46,344
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6)		45,000		48,722
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.23% due 07/10/2045(6)		15,000		16,782
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(6)		100,000		111,375
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(6)		25,269		25,788
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.84% due 06/10/2046(6)		9,636		9,626
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(4)		4,347		4,360
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4)		13,962		12,906
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(4)		892		835
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(6)		136		136
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(6)		9,340		9,410
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.90% due 06/15/2057(6)(7)		335,896		18,619

16

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(6)	$	44,000	$	46,936
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*(3)		14,898		15,246
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*		30,000		30,014
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.43% due 05/25/2035(4)		48,789		43,723
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020*		35,000		34,844
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		50,000		49,799
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		15,000		14,939
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		7,000		6,996
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(6)		46,000		49,270
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(6)		30,000		32,406
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6)		40,000		43,535
GS Mtg. Securities Trust Series 2014-GC18, Class A4 4.07% due 01/10/2047(6)		20,000		21,864
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.53% due 03/25/2037(3)		71,100		35,638
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.88% due 03/25/2047(4)		9,873		8,106
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.91% due 01/25/2036(4)		21,045		19,412
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.96% due 04/25/2035(4)		14,731		13,938
GTP Acquisition Partners I LLC Series 2015-2, CLASS A 3.48% due 06/15/2050*		45,000		45,607
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.97% due 05/25/2035(4)		22,316		20,270

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Trust Series 2015-JP1, Class A5 3.91% due 01/15/2049(6)	$	39,000	$	42,204
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(6)		25,250		27,945
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(6)		46,132		46,832
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.70% due 02/12/2049(6)		24,271		24,933
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(6)		23,531		24,529
JPMBB Commercial Mtg. Securities Trust Series 2015-C28, Class A4 3.23% due 10/15/2048(6)		41,000		42,159
JPMBB Commercial Mtg. Securities Trust Series 2015-C29, Class A4 3.61% due 05/15/2048(6)		39,000		41,237
JPMBB Commercial Mtg. Securities Trust VRS Series 2015-C33, Class A4 3.78% due 12/15/2048(6)		46,000		49,304
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6)		40,000		43,031
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(6)		60,000		65,577
LB-UBS Commercial Mtg. Trust VRS Series 2006-C4, Class A4 5.86% due 06/15/2038(6)		8,206		8,205
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(6)		23,369		23,847
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.08% due 04/15/2041(6)		30,860		32,623
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class A1A 1.90% due 10/23/2025*(5)		250,000		246,962
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 2.04% due 07/25/2026*(5)		270,000		267,594

17

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.73% due 12/25/2034(4)	$	11,851	$	11,585
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(6)		21,377		21,777
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(6)		23,998		24,881
Morgan Stanley BAML Trust Series 2016-C28, Class A4 3.54% due 01/15/2049(6)		39,000		40,960
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.16% due 12/15/2047(6)(7)		99,214		6,151
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(6)		35,000		37,514
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(6)		35,000		38,346
Morgan Stanley Capital I Trust Series 2006-IQ12, Class A4 5.33% due 12/15/2043(6)		34,478		34,778
Morgan Stanley Capital I Trust VRS Series 2007-T25, Class A3 5.51% due 11/12/2049(6)		39,605		40,156
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(6)		50,000		51,197
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(6)		21,071		21,957
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4)		14,292		12,686
MortgageIT Trust FRS Series 2005-4, Class A1 0.71% due 10/25/2035(4)		60,427		54,758
Nomura Asset Acceptance Corp Alternative Loan Trust FRS Series 2006-AF1, Class 3A1 3.56% due 06/25/2036(4)		41,644		30,791
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)		9,453		9,431
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		125,000		125,661
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		100,000		100,633

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.53% due 02/25/2037(3)	$	11,143	$	5,773
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(3)(8)		62,648		31,052
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4)		1,603		1,581
RFMSI Trust FRS Series 2005-SA3, Class 1A 2.91% due 08/25/2035(4)		38,362		28,511
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		10,000		10,008
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		25,000		25,081
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.56% due 05/25/2037(3)		30,858		19,753
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.69% due 02/20/2047(4)		37,227		31,504
Shackleton 2015-VIII CLO, Ltd. FRS Series 2015-8A, Class A1 1.84% due 10/20/2027*(5)		270,000		267,732
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.68% due 11/25/2036(3)		50,000		32,883
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 2.12% due 04/20/2027*(5)		275,000		272,572
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(6)		20,000		20,751
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.16% due 11/25/2046(4)		38,106		33,607
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6)		30,000		32,337
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.74% due 10/25/2036(4)		18,819		17,341
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.76% due 11/25/2034(4)		1,743		1,736

18

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.85% due 01/25/2035(4)	$	39,481	$	39,297
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.87% due 03/25/2035(4)		27,967		28,130
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		35,000		34,978
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(6)		20,000		21,364
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6)		35,000		38,165
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(6)		35,000		38,278
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6)		36,000		39,532
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(6)		15,000		16,575
Total Asset Backed Securities (cost $5,104,293)				5,120,213
U.S. CORPORATE BONDS & NOTES — 7.7%
Advertising Agencies — 0.0%
Omnicom Group, Inc. Company Guar. Notes 3.60% due 04/15/2026		11,000		11,268
Aerospace/Defense — 0.0%
Lockheed Martin Corp. Senior Notes 2.50% due 11/23/2020		10,000		10,242
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		5,000		5,591
				15,833
Agricultural Chemicals — 0.1%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		25,000		21,758
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		15,000		14,126
				35,884
Apparel Manufacturers — 0.0%
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		15,000		15,412

Security Description	Principal Amount(12)		Value (Note 2)
Applications Software — 0.1%
Microsoft Corp. Senior Notes 2.00% due 11/03/2020	$	15,000	$	15,369
Microsoft Corp. Senior Notes 2.65% due 11/03/2022		30,000		31,194
				46,563
Auto-Cars/Light Trucks — 0.3%
Ford Motor Co. Senior Notes 7.45% due 07/16/2031		45,000		58,628
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		6,000		5,993
General Motors Co. Senior Notes 6.60% due 04/01/2036		5,000		5,502
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018		25,000		24,994
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		30,000		30,762
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		40,000		41,292
General Motors Financial Co., Inc. Company Guar. Notes 5.25% due 03/01/2026		15,000		15,689
				182,860
Banks-Commercial — 0.0%
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		20,000		20,690
Banks-Fiduciary — 0.0%
Bank of New York Mellon Corp. Senior Notes 2.60% due 08/17/2020		15,000		15,361
Banks-Super Regional — 0.5%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		25,000		25,313
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/2016		65,000		66,319
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		25,000		25,858
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		30,000		30,469
Wells Fargo & Co. Senior Notes 2.50% due 03/04/2021		25,000		25,316

19

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Super Regional (continued)
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045	$	45,000	$	48,300
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		30,000		34,765
				256,340
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		10,000		9,650
Brewery — 0.4%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		15,000		15,214
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.15% due 02/01/2019		5,000		5,109
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		80,000		83,170
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		25,000		27,018
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		85,000		94,993
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 2.50% due 07/15/2022		10,000		10,083
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		15,000		14,251
				249,838
Broadcast Services/Program — 0.0%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		20,000		20,500
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024*		5,000		5,075
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		15,000		15,862
				20,937

Security Description	Principal Amount(12)		Value (Note 2)
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022	$	9,000	$	9,900
Building-Heavy Construction — 0.1%
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*		25,000		24,977
Building-Residential/Commercial — 0.1%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		15,000		15,337
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		20,000		20,650
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		5,000		5,000
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,325
				46,312
Cable/Satellite TV — 0.6%
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		11,000		11,330
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		15,000		15,328
CCO Safari II LLC Senior Sec. Notes 4.46% due 07/23/2022*		30,000		31,358
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*		15,000		15,822
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		45,000		50,073
Comcast Corp. Company Guar. Notes 2.75% due 03/01/2023		35,000		36,168
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026		25,000		26,029
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		15,000		15,975
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		15,000		16,920
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		5,000		4,822
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		30,000		28,939

20

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023	$	4,000	$	3,530
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		15,000		13,762
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		6,000		6,195
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		15,000		13,316
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		10,000		10,349
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		15,000		16,503
Time Warner Cable, Inc. Company Guar. Notes 8.75% due 02/14/2019		40,000		46,835
				363,254
Casino Hotels — 0.0%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Senior Notes 5.38% due 03/15/2022		15,000		15,127
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		5,000		5,238
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		10,000		7,425
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		9,360
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		15,000		15,487
				37,510
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		10,000		9,875
Computer Services — 0.1%
Hewlett Packard Enterprise Co. Senior Notes 2.45% due 10/05/2017*		25,000		25,163
Computers — 0.0%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		15,000		13,547

Security Description	Principal Amount(12)		Value (Note 2)
Data Processing/Management — 0.0%
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*	$	10,000	$	10,250
Diagnostic Equipment — 0.0%
Danaher Corp. Senior Notes 2.40% due 09/15/2020		10,000		10,324
Diversified Banking Institutions — 1.6%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		25,000		25,037
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		10,000		11,037
Bank of America Corp. Senior Notes 5.65% due 05/01/2018		15,000		16,102
Bank of America Corp. Senior Notes 6.00% due 09/01/2017		10,000		10,569
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		100,000		114,988
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		15,000		15,296
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		60,000		60,375
Citigroup, Inc. Sub. Notes 4.60% due 03/09/2026		10,000		10,253
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		25,000		26,181
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		70,000		76,602
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		10,000		10,082
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		40,000		40,582
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		20,000		20,318
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		37,000		41,056
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		9,000		10,899
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		15,000		18,650

21

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036	$	25,000	$	28,987
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		28,000		33,444
JPMorgan Chase & Co. Senior Notes 2.55% due 10/29/2020		5,000		5,067
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		20,000		20,481
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		34,000		35,460
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		60,000		62,408
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		10,000		10,927
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		35,000		40,308
Morgan Stanley Senior Notes 1.88% due 01/05/2018		50,000		50,159
Morgan Stanley Senior Notes 2.65% due 01/27/2020		50,000		50,739
Morgan Stanley Senior Notes 3.70% due 10/23/2024		20,000		20,656
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		20,000		20,021
Morgan Stanley Senior Notes 4.30% due 01/27/2045		10,000		10,062
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		5,000		5,145
Morgan Stanley Senior Notes 4.75% due 03/22/2017		22,000		22,722
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		5,000		5,417
				930,030
Electric-Integrated — 0.1%
AES Corp. Senior Notes 4.88% due 05/15/2023		4,000		3,850
AES Corp. Senior Notes 5.50% due 03/15/2024		15,000		14,663

Security Description	Principal Amount(12)		Value (Note 2)
Electric-Integrated (continued)
AES Corp. Senior Notes 8.00% due 06/01/2020	$	10,000	$	11,350
Exelon Corp. Senior Notes 2.85% due 06/15/2020		20,000		20,410
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		15,000		19,044
				69,317
Entertainment Software — 0.1%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		25,000		26,281
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 8.45% due 06/15/2018		25,000		26,781
Synchrony Financial Senior Notes 2.60% due 01/15/2019		20,000		20,043
				46,824
Finance-Credit Card — 0.1%
Visa, Inc. Senior Notes 2.80% due 12/14/2022		15,000		15,643
Visa, Inc. Senior Notes 4.30% due 12/14/2045		20,000		21,880
				37,523
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		10,000		10,983
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016		7,000		505
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(3)		7,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(3)		10,000		1
				11,490
Finance-Other Services — 0.0%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		15,000		15,316
Food-Misc./Diversified — 0.0%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018*		5,000		5,046
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020*		10,000		10,272
				15,318

22

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021	$	10,000	$	10,116
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 4.50% due 11/15/2020		10,000		10,325
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		20,000		20,498
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Senior Sec. Notes 7.88% due 02/15/2021*		15,000		15,862
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		2,000		2,100
Insurance Brokers — 0.0%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018		15,000		15,277
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		5,000		5,084
				20,361
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		20,000		28,994
Insurance-Property/Casualty — 0.0%
Chubb INA Holdings, Inc. Company Guar. Notes 3.15% due 03/15/2025		10,000		10,286
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		5,000		5,038
Machinery-Farming — 0.0%
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 11/06/2020		10,000		9,825
Medical Instruments — 0.0%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		5,000		5,174
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		10,000		10,826
				16,000

Security Description	Principal Amount(12)		Value (Note 2)
Medical Products — 0.1%
Stryker Corp. Senior Notes 2.63% due 03/15/2021	$	15,000	$	15,296
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		35,000		34,988
				50,284
Medical-Biomedical/Gene — 0.0%
Celgene Corp. Senior Notes 4.63% due 05/15/2044		5,000		5,094
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		5,000		5,284
				10,378
Medical-Drugs — 0.1%
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		25,000		25,518
Medical-HMO — 0.3%
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		25,000		25,285
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		25,000		26,367
UnitedHealth Group, Inc. Senior Notes 1.70% due 02/15/2019		25,000		25,207
UnitedHealth Group, Inc. Senior Notes 2.13% due 03/15/2021		35,000		35,306
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		15,000		15,957
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		10,000		10,775
				138,897
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		5,000		5,063
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		10,000		10,244
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		4,000		4,195
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		15,000		16,462
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		5,000		5,225

23

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Hospitals (continued)
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020	$	10,000	$	10,250
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		15,000		15,975
				67,414
Medical-Wholesale Drug Distribution — 0.0%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		10,000		10,047
Multimedia — 0.3%
21st Century Fox America, Inc. Company Guar. Notes 3.70% due 10/15/2025		10,000		10,471
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		25,000		30,071
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		60,000		72,721
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		30,000		38,358
				151,621
Networking Products — 0.1%
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		45,000		45,895
Oil Companies-Exploration & Production — 0.2%
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		25,000		25,220
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		15,000		16,236
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		5,000		4,600
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		5,000		4,900
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026		10,000		10,398
Hess Corp. Senior Notes 6.00% due 01/15/2040		10,000		9,214
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		20,000		21,169
Noble Energy, Inc. Senior Notes 4.15% due 12/15/2021		10,000		9,983

Security Description	Principal Amount(12)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Pioneer Natural Resources Co. Senior Notes 4.45% due 01/15/2026	$	15,000	$	15,118
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		3,475
				120,313
Oil Companies-Integrated — 0.2%
ConocoPhillips Co. Company Guar. Notes 3.35% due 11/15/2024		10,000		9,660
ConocoPhillips Co. Company Guar. Notes 4.20% due 03/15/2021		15,000		15,665
ConocoPhillips Co. Company Guar. Notes 4.95% due 03/15/2026		15,000		15,659
Exxon Mobil Corp. Senior Notes 2.22% due 03/01/2021		15,000		15,266
Exxon Mobil Corp. Senior Notes 2.73% due 03/01/2023		20,000		20,341
Exxon Mobil Corp. Senior Notes 3.04% due 03/01/2026		5,000		5,117
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		15,000		12,729
				94,437
Oil-Field Services — 0.0%
Halliburton Co. Senior Notes 2.70% due 11/15/2020		10,000		10,152
Paper & Related Products — 0.0%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		3,000		2,861
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		10,000		9,763
				12,624
Pipelines — 0.3%
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		10,000		8,212
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		23,000		22,138
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		5,000		4,338
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		15,000		12,920

24

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046	$	20,000	$	17,019
MPLX LP Company Guar. Notes 4.50% due 07/15/2023*		3,000		2,767
MPLX LP Company Guar. Notes 4.88% due 12/01/2024*		5,000		4,616
Regency Energy Partners LP/Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		25,000		24,287
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		10,000		9,180
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019*		10,000		9,950
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		3,965
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022*		10,000		9,900
Williams Partners LP Senior Notes 3.60% due 03/15/2022		25,000		20,585
Williams Partners LP Senior Notes 4.30% due 03/04/2024		15,000		12,474
				162,351
Real Estate Investment Trusts — 0.4%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		30,000		30,754
American Tower Corp. Senior Notes 3.45% due 09/15/2021		30,000		30,676
Brandywine Operating Partnership LP Company Guar. Notes 4.10% due 10/01/2024		10,000		9,901
HCP, Inc. Senior Notes 4.20% due 03/01/2024		25,000		24,675
HCP, Inc. Senior Notes 6.00% due 01/30/2017		10,000		10,330
Liberty Property LP Senior Notes 3.38% due 06/15/2023		10,000		9,879

Security Description	Principal Amount(12)		Value (Note 2)
Real Estate Investment Trusts (continued)
Liberty Property LP Senior Notes 4.13% due 06/15/2022	$	5,000	$	5,207
Realty Income Corp. Senior Notes 3.25% due 10/15/2022		50,000		49,348
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		10,000		10,486
Ventas Realty LP Company Guar. Notes 3.50% due 02/01/2025		10,000		9,827
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		5,000		5,499
Welltower, Inc. Senior Notes 4.50% due 01/15/2024		5,000		5,191
Welltower, Inc. Senior Notes 5.25% due 01/15/2022		16,000		17,471
				219,244
Real Estate Operations & Development — 0.1%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		45,000		46,878
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		10,000		12,755
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023		5,000		4,968
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		5,000		4,974
				22,697
Retail-Automobile — 0.0%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		10,000		9,900
Retail-Drug Store — 0.2%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		40,000		41,514
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		25,000		26,978
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		20,000		23,162

25

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Drug Store (continued)
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*	$	4,314	$	4,674
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		8,058		8,918
				105,246
Retail-Restaurants — 0.0%
McDonald's Corp. Senior Notes 2.75% due 12/09/2020		5,000		5,179
Security Services — 0.0%
ADT Corp. Senior Notes 6.25% due 10/15/2021		15,000		15,075
Steel-Producers — 0.0%
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		10,000		7,800
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		5,000		5,138
Telephone-Integrated — 0.3%
AT&T, Inc. Senior Notes 1.75% due 01/15/2018		25,000		25,079
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		10,000		10,389
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		10,000		10,538
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		15,000		14,791
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		20,000		19,509
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		52,000		51,740
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		58,000		55,680
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		7,000		7,023
				194,749
Television — 0.0%
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		20,000		20,880

Security Description	Principal Amount(12)		Value (Note 2)
Tobacco — 0.0%
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020	$	17,000	$	17,778
Transport-Rail — 0.1%
Kansas City Southern Company Guar. Notes 3.00% due 05/15/2023*		50,000		48,541
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.20% due 02/01/2025		5,000		5,121
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045		10,000		9,513
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		10,000		10,019
Ryder System, Inc. Senior Notes 2.65% due 03/02/2020		25,000		24,943
				49,596
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*		5,000		4,972
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		21,000		22,423
				27,395
Total U.S. Corporate Bonds & Notes (cost $4,365,940)				4,464,906
FOREIGN CORPORATE BONDS & NOTES — 1.1%
Banks-Commercial — 0.4%
Bank of Nova Scotia Sub. Notes 4.50% due 12/16/2025		45,000		44,925
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		100,000		105,423
Credit Suisse AG Sub. Notes 5.40% due 01/14/2020		49,000		53,108
				203,456
Building Products-Wood — 0.0%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		10,000		9,850
Diversified Banking Institutions — 0.1%
HSBC Holdings PLC Senior Notes 4.00% due 03/30/2022		25,000		26,273
JPMorgan Chase & Co. Senior Notes 4.50% due 01/24/2022		10,000		11,036

26

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022	$	5,000	$	5,304
				42,613
Electric-Generation — 0.0%
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		20,000		20,620
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		2,000		2,173
Insurance-Life/Health — 0.0%
Manulife Financial Corp. Senior Notes 4.15% due 03/04/2026		15,000		15,324
Medical-Generic Drugs — 0.3%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		75,000		75,886
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		40,000		41,128
Mylan NV Company Guar. Notes 3.00% due 12/15/2018*		10,000		10,137
Mylan NV Company Guar. Notes 3.75% due 12/15/2020*		10,000		10,232
				137,383
Oil Companies-Exploration & Production — 0.1%
Encana Corp. Senior Notes 6.50% due 05/15/2019		25,000		24,945
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		10,000		6,075
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		3,540
				34,560
Oil Companies-Integrated — 0.2%
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		10,000		10,153
BP Capital Markets PLC Company Guar. Notes 3.06% due 03/17/2022		10,000		10,192
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		15,000		12,248
Cenovus Energy, Inc. Senior Notes 5.70% due 10/15/2019		35,000		35,123

Security Description	Principal Amount(12)		Value (Note 2)
Oil Companies-Integrated (continued)
Ecopetrol SA Senior Notes 5.88% due 05/28/2045	$	10,000	$	7,872
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041		20,000		14,380
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		23,000		19,111
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		20,000		19,061
				128,140
Paper & Related Products — 0.0%
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*		10,000		9,437
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		10,000		10,075
Tobacco — 0.0%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		20,000		20,567
Transport-Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		10,000		13,058
Wireless Equipment — 0.0%
Nokia Oyj Senior Notes 6.63% due 05/15/2039		10,000		10,400
Total Foreign Corporate Bonds & Notes (cost $670,399)				657,656
MUNICIPAL BONDS & NOTES — 0.3%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		20,000		23,807
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		11,000		12,616
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(3)		75,000		22,781
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039(3)		25,000		7,594

27

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
State of California General Obligation Bonds 7.55% due 04/01/2039	$	45,000	$	68,897
State of California General Obligation Bonds 7.63% due 03/01/2040		10,000		15,304
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		5,000		4,676
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		15,000		15,807
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		15,000		16,671
Total Municipal Bonds & Notes (cost $195,140)				188,153
U.S. GOVERNMENT AGENCIES — 10.5%
Federal Home Loan Mtg. Corp. — 2.4%
2.12% due 02/01/2037 FRS		2,034		2,111
2.50% due 01/01/2028		4,717		4,866
2.50% due 04/01/2028		14,086		14,515
3.00% due 10/01/2042		11,678		12,042
3.00% due 11/01/2042		6,176		6,334
3.00% due 02/01/2043		19,988		20,499
3.00% due 08/01/2043		94,985		97,542
3.50% due 03/01/2042		4,042		4,236
3.50% due 09/01/2043		45,473		47,890
3.50% due April TBA		300,000		313,887
4.00% due 09/01/2040		7,935		8,491
4.00% due April TBA		200,000		213,453
4.50% due 01/01/2039		997		1,082
5.00% due 07/01/2021		23,294		24,184
5.50% due 07/01/2034		4,195		4,704
6.00% due 08/01/2036		5,874		6,648
6.50% due 05/01/2029		812		924
6.50% due 05/01/2036		23		26
7.50% due 08/01/2023		76		81
7.50% due 04/01/2028		888		1,065
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust Series 2013-K502, Class B 2.64% due 03/25/2045 VRS*(6)		20,000		20,035
Series 2014-K503, Class B 3.01% due 10/25/2047 VRS*(6)		20,000		19,926
Series 2012-K706, Class B 4.03% due 11/25/2044 VRS*(6)		20,000		20,535
Series 2010-K8, Class B 5.25% due 09/25/2043 VRS*(6)		25,000		27,196
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Series 2015-DNA2, Class M2 3.03% due 12/25/2027(4)		250,000		250,078
Series DNA3, Class M2 3.28% due 04/25/2028(4)		280,000		281,887

Security Description	Principal Amount(12)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3)(4)	$	1,167	$	1,184
Series 1577, Class PK 6.50% due 09/15/2023(4)		2,448		2,677
Series 1226, Class Z 7.75% due 03/15/2022(4)		372		396
				1,408,494
Federal National Mtg. Assoc. — 6.6%
2.35% due 05/01/2037 FRS		3,356		3,509
2.50% due April TBA		100,000		102,656
2.50% due 02/01/2043		85,187		84,912
2.58% due 10/01/2040 FRS		3,223		3,415
2.64% due 03/01/2027		24,550		24,837
2.78% due 03/01/2027		21,000		21,449
2.97% due 06/01/2027		35,000		36,302
2.97% due 06/01/2030		40,000		40,028
3.00% due 01/01/2028		12,895		13,502
3.00% due April TBA		1,000,000		1,027,656
3.13% due 02/01/2027		45,000		47,275
3.50% due 08/01/2026		15,033		15,900
3.50% due 09/01/2026		14,748		15,627
3.50% due 10/01/2028		17,983		19,144
3.50% due April TBA		1,200,000		1,258,172
4.00% due 11/01/2025		2,664		2,848
4.00% due 09/01/2040		7,045		7,548
4.00% due 11/01/2040		2,065		2,213
4.00% due 12/01/2040		26,906		28,833
4.00% due 10/01/2041		9,037		9,683
4.00% due 11/01/2041		10,046		10,764
4.00% due 01/01/2042		11,305		12,110
4.00% due 12/01/2043		24,034		26,099
4.00% due April TBA		200,000		213,688
4.50% due 11/01/2022		9,254		9,715
4.50% due 01/01/2039		2,996		3,258
4.50% due 06/01/2039		35,733		39,227
4.50% due 09/01/2039		5,629		6,140
4.50% due 09/01/2040		11,820		12,899
4.50% due 05/01/2041		5,834		6,347
4.50% due April TBA		200,000		217,625
5.00% due 06/01/2019		437		453
5.00% due 05/01/2035		1,028		1,140
5.00% due 06/01/2040		46,265		51,292
5.00% due 07/01/2040		10,490		11,627
5.00% due April TBA		200,000		221,250
5.50% due 11/01/2020		3,201		3,382
5.50% due 04/01/2021		52,443		56,502
5.50% due 12/01/2029		1,662		1,862
5.50% due 06/01/2035		114,841		130,159
5.50% due 08/01/2037		16,116		18,141
5.50% due 06/01/2038		9,105		10,319
6.00% due 06/01/2017		638		650
6.00% due 12/01/2033		7,456		8,637
6.00% due 05/01/2034		570		656
6.00% due 06/01/2040		224		256

28

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
6.50% due 08/01/2017	$	1,000	$	1,015
6.50% due 10/01/2037		256		300
7.00% due 06/01/2037		8,739		10,773
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4)		10,339		10,361
				3,862,156
Government National Mtg. Assoc. — 1.5%
3.00% due April TBA		300,000		310,764
3.50% due April TBA		100,000		105,687
4.00% due 09/15/2041		239,539		258,466
4.50% due 06/15/2041		106,916		116,467
6.00% due 11/15/2031		48,264		54,465
7.00% due 05/15/2033		8,076		9,854
8.50% due 11/15/2017		57		58
9.00% due 11/15/2021		117		132
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(4)		173		202
Series 2005-74, Class HC 7.50% due 09/16/2035(4)		2,296		2,666
				858,761
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		6,000		6,115
Total U.S. Government Agencies (cost $6,060,591)				6,135,526
U.S. GOVERNMENT TREASURIES — 2.4%
United States Treasury Bonds — 0.6%
2.88% due 08/15/2045(13)(16)		196,000		206,168
3.00% due 05/15/2045		95,000		102,455
3.00% due 11/15/2045		46,000		49,660
				358,283
United States Treasury Notes — 1.8%
0.13% due 07/15/2024 TIPS(9)		354,191		355,408
0.25% due 01/15/2025 TIPS(9)		509,107		513,396
0.38% due 07/15/2025 TIPS(9)		184,813		188,849
				1,057,653
Total U.S. Government Treasuries (cost $1,368,392)				1,415,936
FOREIGN GOVERNMENT OBLIGATIONS — 0.9%
Sovereign — 0.9%
Brazil Letras do Tesouro Nacional Nacional Bills 0.01% due 04/01/2016	BRL	113,000		31,410
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2016(9)	BRL	296,419		82,482

Security Description	Shares/ Principal Amount(12)		Value (Note 2)
Sovereign (continued)
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2022(9)		102,606	$	27,890
Government of Japan Senior Bonds 0.10% due 08/15/2016	JPY	20,000,000		177,831
Government of Romania Bonds 5.80% due 07/26/2027	RON	110,000		33,205
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(9)	UYU	596,670		15,148
Oriental Republic of Uruguay Notes 4.25% due 04/05/2027(9)	UYU	715,002		20,842
Oriental Republic of Uruguay Senior Notes 4.38% due 12/15/2028(9)	UYU	210,122		6,191
Republic of Argentina Senior Notes 2.26% due 12/31/2038	EUR	25,000		16,613
Republic of Colombia Bonds 3.00% due 03/25/2033(9)	COP	44,622,963		12,671
Republic of Turkey Bonds 2.50% due 05/04/2016(9)	TRY	230,829		81,222
Republic of Venezuela Senior Bonds 6.00% due 12/09/2020(3)		5,000		1,675
Total Foreign Government Obligations (cost $522,729)				507,180
OPTIONS — PURCHASED†(3)(11) — 0.0%
Put Options — Purchased (cost $1,226)		190,000		754
Total Long-Term Investment Securities (cost $56,277,340)				61,661,350
SHORT-TERM INVESTMENT SECURITIES — 1.1%
Commercial Paper — 0.7%
BNP Paribas SA NY 0.24% due 04/01/2016	$	400,000		400,000
Time Deposits — 0.4%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 04/01/2016		211,000		211,000
Total Short-Term Investment Securities (cost $611,000)				611,000

29

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)			Value (Note 2)
REPURCHASE AGREEMENTS — 0.1%
Bank of America Securities LLC Joint Repurchase Agreement(14)	$	25,000		$	25,000
BNP Paribas SA Joint Repurchase Agreement(14)		5,000			5,000
Deutsche Bank AG Joint Repurchase Agreement(14)		5,000			5,000
RBS Securities, Inc. Joint Repurchase Agreement(14)		5,000			5,000
Total Repurchase Agreements (cost $40,000)					40,000
TOTAL INVESTMENTS (cost $56,928,340)(15)		107.0	%		62,312,350
Liabilities in excess of other assets		(7.0	)		(4,051,182	)
NET ASSETS		100.0	%	$	58,261,168

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2016, the aggregate value of these securities was $3,290,074 representing 5.6% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Perpetual maturity — maturity date reflects the next call date.

(3)  Illiquid security. At March 31, 2016, the aggregate value of these securities was $179,144 representing 0.3% of net assets.

(4)  Collateralized Mortgage Obligation

(5)  Collateralized Loan Obligation

(6)  Commercial Mortgage Backed Security

(7)  Interest Only

(8)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. Rate shown reflects the increased rate.

(9)  Principal amount of security is adjusted for inflation.

(10)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2016, the Multi-Managed Growth Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	03/05/2014		2	$	0	$	1,953	$	976.54		0.00	%

(11)  Options — Purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at March 31, 2016		Unrealized Appreciation (Depreciation)
Put option to sell Chinese Yuan in exchange for U.S. Dollars with Goldman Sachs International	April 2016	$	6.46	$	127,000	$	807	$	391	$	(416	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars with Goldman Sachs International	May 2016		6.47		63,000		419		363		(56	)
						$	1,226	$	754	$	(472	)

(12)  Denominated in United States dollars unless otherwise indicated.

(13)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(14)  See Note 2 for details of Joint Repurchase Agreements.

(15)  See Note 4 for cost of investments on a tax basis.

(16)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

BRL — Brazilian Real

CLO — Collateralized Loan Obligation

COP — Colombian Peso

CVR — Contingent Value Rights

EUR — Euro Dollar

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TIPS — Treasury Inflation Protected Securities

TRY — Turkish Lira

UYU — Uruguayan Peso

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at March 31, 2016 and unless noted otherwise, the dates shown are the original maturity dates.

30

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	2	Long	Russell 2000 Mini Index	June 2016	$	213,829	$	221,920	$	8,091
	4	Short	U.S. Treasury 2 Year Notes	June 2016		874,750		875,000		(250	)
	25	Long	U.S. Treasury 5 Year Notes	June 2016		3,032,328		3,029,102		(3,226	)
	23	Short	U.S. Treasury 10 Year Notes	June 2016		3,003,004		2,998,985		4,019
	4	Short	U.S. Treasury 10 Year Ultra Bonds	June 2016		560,081		563,000		(2,919	)
	1	Long	U.S. Treasury Ultra Long Bonds	June 2016		171,906		172,531		625
									$	6,340

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	TRY	95,000	USD	32,231	06/15/2016	$	—	$	(806	)
	USD	14,161	THB	501,000	06/15/2016		57		—
	USD	32,256	TRY	95,000	06/15/2016		780		—
							837		(806	)
Barclays Bank PLC	IDR	644,000,000	USD	48,207	04/01/2016		—		(360	)
	IDR	123,000,000	USD	8,521	05/18/2016		—		(790	)
	USD	48,367	IDR	644,000,000	04/01/2016		201		—
							201		(1,150	)
BNP Paribas SA	USD	16,462	ZAR	246,000	04/18/2016		155		—
	USD	7,807	ZAR	118,000	06/15/2016		73		—
							228		—
Calyon Bank	PEN	9,000	USD	2,584	06/15/2016		—		(106	)
Citibank N.A.	USD	9,868	UYU	313,000	04/04/2016		6		—
	UYU	313,000	USD	9,631	04/04/2016		—		(243	)
							6		(243	)
Credit Suisse International	TRY	232,427	USD	80,140	05/04/2016		—		(1,581	)
Deutsche Bank AG	CNY	80,000	USD	12,140	07/28/2016		—		(156	)
	IDR	157,000,000	USD	11,502	09/21/2016		—		(99	)
							—		(255	)
Goldman Sachs International	BRL	85,000	USD	23,884	04/04/2016		244		—
	BRL	100,000	USD	26,447	07/05/2016		—		(671	)
	CNY	20,000	USD	3,042	07/28/2016		—		(32	)
	IDR	644,000,000	USD	49,160	04/01/2016		593		—
	USD	48,207	IDR	644,000,000	04/01/2016		360		—
	USD	23,026	BRL	85,000	04/04/2016		614		—
	USD	15,663	IDR	242,000,000	05/18/2016		2,656		—
	USD	46,364	IDR	628,000,000	09/21/2016		40		—
	ZAR	118,000	USD	7,164	06/15/2016		—		(716	)
							4,507		(1,419	)
HSBC Bank USA, N.A.	IDR	314,000,000	USD	23,131	09/21/2016		—		(71	)
	USD	38,944	UYU	1,250,000	04/04/2016		489		—
	UYU	624,000	USD	19,015	04/04/2016		—		(681	)
	UYU	1,250,000	USD	37,349	06/30/2016		—		(807	)
							489		(1,559	)

31

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
JPMorgan Chase Bank	IDR	119,000,000	USD	8,221	05/18/2016	$	—	$	(787	)
	PEN	24,000	USD	6,903	06/15/2016		—		(270	)
	RON	135,000	USD	33,690	06/15/2016		—		(713	)
	USD	9,868	UYU	313,000	04/04/2016		6		—
	USD	15,952	CNY	100,000	07/28/2016		—		(582	)
	UYU	313,000	USD	9,628	04/04/2016		—		(246	)
							6		(2,598	)
Morgan Stanley and Co., Inc.	BRL	185,000	USD	46,679	04/04/2016		—		(4,772	)
	BRL	110,000	USD	28,013	04/06/2016		—		(2,561	)
	BRL	295,000	USD	78,212	08/17/2016		—		(767	)
	JPY	20,020,000	USD	178,381	08/15/2016		—		(266	)
	USD	51,147	BRL	185,000	04/04/2016		304		—
	USD	23,111	THB	818,000	06/15/2016		101		—
							405		(8,366	)
Royal Bank of Canada	USD	12,635	MXN	221,000	06/15/2016		75		—
Standard Chartered Bank	IDR	157,000,000	USD	11,519	09/21/2016		—		(82	)
	MXN	262,000	USD	14,490	06/15/2016		—		(577	)
	THB	1,319,000	USD	36,926	06/15/2016		—		(505	)
							—		(1,164	)
State Street Bank and Trust Co.	USD	2,341	MXN	41,000	06/15/2016		17		—
	USD	9,721	PEN	33,000	06/15/2016		142		—
	ZAR	246,000	USD	15,339	04/18/2016		—		(1,276	)
							159		(1,276	)
Net Unrealized Appreciation(Depreciation)						$	6,913	$	(20,523	)

BRL — Brazilian Real
CNY — Chinese Yuan
IDR — Indonesian Rupiah
JPY — Japanese Yen
MXN — Mexican Peso
PEN — Peruvian Nuevo
RON — Romanian Leu
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio	Payments Made by the Portfolio			Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	165	06/15/2026	3 month LIBOR		1.78	%	$	—	$	(1,483	)
USD	163	06/15/2026	3 month LIBOR		1.79			—		(1,541	)
									$	(3,024	)

Over the Counter Cross-Currency Interest Rate Swap Contracts

Swap Counterparty	Receive	Pay	Termination Date	Notional Amount of Currency Received (000's)	Notional Amount of Currency Delivered (000's)	Unrealized Appreciation (Depreciation)
Goldman Sachs International	3.30% based on the notional amount of currency received	3 Month LIBOR based on the notional amount of currency delivered	09/21/2021	CNY 225	$35	$1,767

CNY — Chinese Yuan

LIBOR — London Interbank Offered Rate

USD — United States Dollar

32

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Medical-Biomedical/Gene	$	2,348,552	$	—	$	0	$	2,348,552
Television		79,181		—		1,953		81,134
Other Industries		40,409,534		—		—		40,409,534
Preferred Securities/Capital Securities		—		331,806		—		331,806
Asset Backed Securities		—		5,120,213		—		5,120,213
U.S. Corporate Bonds & Notes		—		4,464,906		—		4,464,906
Foreign Corporate Bonds & Notes		—		657,656		—		657,656
Municipal Bond & Notes		—		188,153		—		188,153
U.S. Government Agencies		—		6,135,526		—		6,135,526
U.S. Government Treasuries		—		1,415,936		—		1,415,936
Foreign Government Obligations		—		507,180		—		507,180
Options - Purchased		—		754		—		754
Short-Term Investment Securities		—		611,000		—		611,000
Repurchase Agreements		—		40,000		—		40,000
Total Investments at Value	$	42,837,267	$	19,473,130	$	1,953	$	62,312,350
Other Financial Instruments:†
Futures Contracts	$	12,735	$	—	$	—	$	12,735
Forward Foreign Currency Contracts		—		6,913		—		6,913
Over the Counter Cross-Currency Interest Rate Swap Contracts		—		1,767		—		1,767
Total Other Financial Instruments	$	12,735	$	8,680	$	—	$	21,415
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	6,395	$	—	$	—	$	6,395
Forward Foreign Currency Contracts		—		20,523		—		20,523
Centrally Cleared Interest Rate Swap Contracts		—		3,024		—		3,024
Total Other Financial Instruments	$	6,395	$	23,547	$	—	$	29,942

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

33

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Diversified Financial Services	15.2	%
Federal National Mtg. Assoc.	10.4
Federal Home Loan Mtg. Corp.	3.4
Diversified Banking Institutions	3.4
Medical-Biomedical/Gene	3.2
Banks-Commercial	3.0
Medical-Drugs	3.0
United States Treasury Notes	3.0
Real Estate Investment Trusts	2.8
Government National Mtg. Assoc.	2.4
Web Portals/ISP	2.3
Cable/Satellite TV	2.1
Computers	1.8
Retail-Restaurants	1.5
Finance-Credit Card	1.4
Sovereign	1.4
Internet Content-Entertainment	1.2
Applications Software	1.1
Electronic Components-Semiconductors	1.1
Computer Services	1.0
Multimedia	1.0
E-Commerce/Products	1.0
Electronic Connectors	1.0
Commercial Paper	0.9
Retail-Discount	0.9
Cosmetics & Toiletries	0.9
Instruments-Controls	0.9
Retail-Building Products	0.9
Commercial Services	0.8
Beverages-Non-alcoholic	0.8
Aerospace/Defense	0.8
Airlines	0.7
Pharmacy Services	0.7
Telephone-Integrated	0.7
Brewery	0.7
Oil Companies-Integrated	0.7
Oil Companies-Exploration & Production	0.7
Tobacco	0.6
Medical-HMO	0.6
Municipal Bonds & Notes	0.6
Time Deposits	0.6
Food-Retail	0.6
Medical Instruments	0.6
Auto-Cars/Light Trucks	0.6
Industrial Gases	0.5
Medical-Hospitals	0.5
Pipelines	0.5
Chemicals-Diversified	0.5
Food-Confectionery	0.5
Enterprise Software/Service	0.5
Electronic Forms	0.5
E-Commerce/Services	0.5
Cellular Telecom	0.5
Athletic Footwear	0.5
Machinery-General Industrial	0.5
Auto/Truck Parts & Equipment-Original	0.5
Diversified Manufacturing Operations	0.5
Wireless Equipment	0.4
Building Products-Cement	0.4
Aerospace/Defense-Equipment	0.4

Savings & Loans/Thrifts	0.4	%
Repurchase Agreements	0.4
Containers-Metal/Glass	0.4
Electric-Integrated	0.4
Computer Aided Design	0.4
Distribution/Wholesale	0.4
Banks-Super Regional	0.4
Finance-Consumer Loans	0.4
Medical-Generic Drugs	0.4
Finance-Other Services	0.4
Food-Misc./Diversified	0.4
Apparel Manufacturers	0.4
Recreational Vehicles	0.4
Electronic Design Automation	0.4
Retail-Apparel/Shoe	0.4
Finance-Investment Banker/Broker	0.4
Entertainment Software	0.4
Telecommunication Equipment	0.3
Cruise Lines	0.3
Food-Wholesale/Distribution	0.3
Networking Products	0.3
Retail-Gardening Products	0.3
Medical Products	0.3
Medical Information Systems	0.3
Data Processing/Management	0.3
Engineering/R&D Services	0.3
Consulting Services	0.3
Real Estate Operations & Development	0.3
Transport-Services	0.3
Commercial Services-Finance	0.2
Oil-Field Services	0.2
Gas-Distribution	0.2
Hotels/Motels	0.2
Insurance-Life/Health	0.2
Insurance-Property/Casualty	0.2
Metal Processors & Fabrication	0.2
Retail-Auto Parts	0.2
Real Estate Management/Services	0.2
Retail-Video Rentals	0.2
Rubber-Tires	0.2
Television	0.2
MRI/Medical Diagnostic Imaging	0.2
Computer Software	0.2
Energy-Alternate Sources	0.2
United States Treasury Bonds	0.2
Internet Content-Information/News	0.2
Building-Heavy Construction	0.2
Beverages-Wine/Spirits	0.2
Toys	0.2
Electronic Measurement Instruments	0.2
Retail-Drug Store	0.2
Semiconductor Equipment	0.2
Electronic Parts Distribution	0.2
Investment Management/Advisor Services	0.2
Office Supplies & Forms	0.2
Retail-Hair Salons	0.2
Financial Guarantee Insurance	0.2
Printing-Commercial	0.2
Therapeutics	0.2
Electronic Components-Misc.	0.2

34

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Building-Residential/Commercial	0.2	%
Containers-Paper/Plastic	0.2
Schools	0.2
Steel-Producers	0.2
Building Societies	0.2
Electric-Generation	0.2
Building & Construction Products-Misc.	0.2
Medical-Wholesale Drug Distribution	0.1
Transport-Rail	0.1
Human Resources	0.1
Telecom Services	0.1
Transport-Truck	0.1
Respiratory Products	0.1
Water	0.1
Poultry	0.1
Oil Refining & Marketing	0.1
Trucking/Leasing	0.1
Chemicals-Specialty	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Engines-Internal Combustion	0.1
Gambling (Non-Hotel)	0.1
Internet Security	0.1
Satellite Telecom	0.1
Broadcast Services/Program	0.1
Research & Development	0.1
Insurance-Mutual	0.1
Internet Application Software	0.1
Diagnostic Kits	0.1
Agricultural Chemicals	0.1
Power Converter/Supply Equipment	0.1
Semiconductor Components-Integrated Circuits	0.1
Independent Power Producers	0.1
Web Hosting/Design	0.1
Rental Auto/Equipment	0.1
Publishing-Books	0.1
Food-Dairy Products	0.1
Insurance Brokers	0.1
Home Furnishings	0.1
Transactional Software	0.1
Chemicals-Fibers	0.1
Housewares	0.1
	112.1	%

*  Calculated as a percentage of net assets

35

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 57.9%
Advertising Services — 0.0%
Marchex, Inc., Class B		3,975	$	17,689
Aerospace/Defense — 0.7%
Northrop Grumman Corp.		2,078		411,236
Teledyne Technologies, Inc.†		2,679		236,127
				647,363
Aerospace/Defense-Equipment — 0.4%
AAR Corp.		5,700		132,639
Moog, Inc., Class A†		825		37,686
United Technologies Corp.		2,510		251,251
				421,576
Agricultural Chemicals — 0.0%
Intrepid Potash, Inc.†		700		777
Airlines — 0.7%
Alaska Air Group, Inc.		1,775		145,585
Hawaiian Holdings, Inc.†		1,150		54,269
United Continental Holdings, Inc.†		8,176		489,415
				689,269
Apparel Manufacturers — 0.3%
Carter's, Inc.		2,828		298,015
Applications Software — 1.0%
MINDBODY, Inc., Class A†		2,525		33,658
NetSuite, Inc.†		4,433		303,616
Progress Software Corp.†		425		10,251
Salesforce.com, Inc.†		3,997		295,099
ServiceNow, Inc.†		5,147		314,893
				957,517
Athletic Equipment — 0.0%
Nautilus, Inc.†		2,050		39,606
Athletic Footwear — 0.5%
NIKE, Inc., Class B		7,349		451,743
Audio/Video Products — 0.0%
VOXX International Corp.†		625		2,794
Auto/Truck Parts & Equipment-Original — 0.5%
American Axle & Manufacturing Holdings, Inc.†		500		7,695
Dana Holding Corp.		3,375		47,554
Delphi Automotive PLC		4,515		338,715
Tower International, Inc.		1,875		51,000
				444,964
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		4,550		104,241
Banks-Commercial — 1.5%
1st Source Corp.		760		24,198
BancFirst Corp.		1,100		62,733
BancorpSouth, Inc.		2,950		62,864
Banner Corp.		700		29,428
BBCN Bancorp, Inc.		975		14,810
Capital Bank Financial Corp., Class A		3,025		93,321
Cathay General Bancorp, Class B		1,150		32,579

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
Central Pacific Financial Corp.		4,875	$	106,129
Chemical Financial Corp.		450		16,061
Citizens & Northern Corp.		300		5,964
City Holding Co.		725		34,640
CoBiz Financial, Inc.		775		9,161
CVB Financial Corp.		4,950		86,377
East West Bancorp, Inc.		68		2,209
FCB Financial Holdings, Inc., Class A†		1,450		48,227
First Commonwealth Financial Corp.		6,100		54,046
First Financial Bancorp		100		1,818
First Interstate BancSystem, Inc., Class A		375		10,549
FNB Corp.		1,800		23,418
Fulton Financial Corp.		1,225		16,391
Great Western Bancorp, Inc.		825		22,498
Guaranty Bancorp		475		7,344
MainSource Financial Group, Inc.		400		8,436
National Penn Bancshares, Inc.		825		8,778
OFG Bancorp		3,175		22,193
PacWest Bancorp		3,901		144,922
Sierra Bancorp		325		5,899
Simmons First National Corp., Class A		475		21,408
Southside Bancshares, Inc.		213		5,553
Southwest Bancorp, Inc.		575		8,654
Suffolk Bancorp		1,547		39,046
TCF Financial Corp.		2,950		36,167
UMB Financial Corp.		450		23,233
Union Bankshares Corp.		4,159		102,436
Webster Financial Corp.		275		9,873
West Bancorporation, Inc.		1,125		20,509
Westamerica Bancorporation		3,700		180,227
Wilshire Bancorp, Inc.		2,150		22,145
				1,424,244
Banks-Mortgage — 0.0%
Walker & Dunlop, Inc.†		1,775		43,079
Beverages-Non-alcoholic — 0.8%
Coca-Cola Co.		15,546		721,179
Beverages-Wine/Spirits — 0.2%
Brown-Forman Corp., Class B		1,967		193,690
Broadcast Services/Program — 0.0%
Nexstar Broadcasting Group, Inc., Class A		1,025		45,377
Building & Construction Products-Misc. — 0.1%
Gibraltar Industries, Inc.†		1,700		48,620
Building Products-Cement — 0.4%
Continental Building Products, Inc.†		2,775		51,504
Vulcan Materials Co.		3,603		380,369
				431,873

36

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Heavy Construction — 0.0%
MasTec, Inc.†		1,575	$	31,878
Cable/Satellite TV — 1.1%
Comcast Corp., Class A		13,221		807,539
Time Warner Cable, Inc.		1,050		214,851
				1,022,390
Casino Hotels — 0.0%
Boyd Gaming Corp.†		500		10,330
Cellular Telecom — 0.4%
T-Mobile US, Inc.†		9,212		352,820
Chemicals-Diversified — 0.5%
Innophos Holdings, Inc.		1,125		34,774
Olin Corp.		1,000		17,370
PPG Industries, Inc.		3,864		430,797
				482,941
Chemicals-Fibers — 0.1%
Rayonier Advanced Materials, Inc.		5,275		50,113
Chemicals-Specialty — 0.1%
Minerals Technologies, Inc.		1,500		85,275
OMNOVA Solutions, Inc.†		3,425		19,043
				104,318
Commercial Services — 0.8%
Aramark		5,893		195,176
CoStar Group, Inc.†		984		185,159
HMS Holdings Corp.†		2,525		36,234
Medifast, Inc.		175		5,283
Nielsen Holdings PLC		3,643		191,841
ServiceMaster Global Holdings, Inc.†		5,365		202,153
				815,846
Commercial Services-Finance — 0.2%
EVERTEC, Inc.		450		6,291
Heartland Payment Systems, Inc.		700		67,599
McGraw Hill Financial, Inc.		1,293		127,981
Vantiv, Inc., Class A†		650		35,022
				236,893
Computer Aided Design — 0.4%
ANSYS, Inc.†		2,018		180,531
Aspen Technology, Inc.†		5,825		210,457
				390,988
Computer Services — 0.9%
Amdocs, Ltd.		4,597		277,751
Barracuda Networks, Inc.†		1,775		27,335
Cognizant Technology Solutions Corp., Class A†		3,849		241,332
Convergys Corp.		5,850		162,454
Insight Enterprises, Inc.†		900		25,776
Manhattan Associates, Inc.†		400		22,748
Science Applications International Corp.		1,550		82,677
Unisys Corp.†		6,575		50,628
				890,701

Security Description	Shares		Value (Note 2)
Computer Software — 0.2%
SS&C Technologies Holdings, Inc.		3,215	$	203,895
Computers — 1.8%
Apple, Inc.		15,529		1,692,506
Consulting Services — 0.3%
Franklin Covey Co.†		550		9,675
Verisk Analytics, Inc.†		3,185		254,545
				264,220
Consumer Products-Misc. — 0.0%
CSS Industries, Inc.		650		18,155
Containers-Metal/Glass — 0.4%
Crown Holdings, Inc.†		7,635		378,620
Containers-Paper/Plastic — 0.2%
Graphic Packaging Holding Co.		11,350		145,847
Cosmetics & Toiletries — 0.9%
Colgate-Palmolive Co.		5,166		364,978
Estee Lauder Cos., Inc., Class A		5,010		472,493
				837,471
Cruise Lines — 0.3%
Norwegian Cruise Line Holdings, Ltd.†		5,473		302,602
Data Processing/Management — 0.3%
CSG Systems International, Inc.		2,925		132,093
Fair Isaac Corp.		1,050		111,394
				243,487
Diagnostic Equipment — 0.0%
Affymetrix, Inc.†		875		12,259
Diagnostic Kits — 0.1%
Quidel Corp.†		5,250		90,615
Disposable Medical Products — 0.0%
Utah Medical Products, Inc.		300		18,762
Distribution/Wholesale — 0.4%
Essendant, Inc.		4,275		136,501
Fastenal Co.		4,618		226,282
Titan Machinery, Inc.†		2,050		23,698
				386,481
Diversified Manufacturing Operations — 0.5%
A.O. Smith Corp.		2,799		213,592
Blount International, Inc.†		600		5,988
Dover Corp.		3,444		221,552
				441,132
Drug Delivery Systems — 0.0%
BioDelivery Sciences International, Inc.†		3,500		11,305
Heron Therapeutics, Inc.†		1,150		21,838
Revance Therapeutics, Inc.†		625		10,913
				44,056
E-Commerce/Products — 1.0%
Amazon.com, Inc.†		1,550		920,142

37

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Services — 0.5%
Priceline Group, Inc.†		359	$	462,737
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		1,075		19,350
Electric-Generation — 0.1%
Atlantic Power Corp.		21,400		52,644
Electric-Integrated — 0.2%
Avista Corp.		350		14,273
El Paso Electric Co.		1,400		64,232
NorthWestern Corp.		375		23,156
PNM Resources, Inc.		1,025		34,563
Portland General Electric Co.		2,050		80,955
				217,179
Electronic Components-Misc. — 0.2%
Benchmark Electronics, Inc.†		300		6,915
Sanmina Corp.†		1,800		42,084
Stoneridge, Inc.†		4,450		64,792
Vishay Intertechnology, Inc.		1,300		15,873
ZAGG, Inc.†		2,250		20,272
				149,936
Electronic Components-Semiconductors — 1.1%
Alpha & Omega Semiconductor, Ltd.†		2,125		25,181
Broadcom, Ltd.		2,453		378,988
Intersil Corp., Class A		3,950		52,812
InvenSense, Inc.†		17,350		145,740
Microsemi Corp.†		323		12,374
Rovi Corp.†		8,325		170,746
Silicon Laboratories, Inc.†		250		11,240
Texas Instruments, Inc.		4,771		273,951
				1,071,032
Electronic Connectors — 1.0%
Amphenol Corp., Class A		10,307		595,951
TE Connectivity, Ltd.		5,124		317,278
				913,229
Electronic Design Automation — 0.4%
Cadence Design Systems, Inc.†		11,995		282,842
Mentor Graphics Corp.		2,850		57,941
				340,783
Electronic Forms — 0.5%
Adobe Systems, Inc.†		4,950		464,310
Electronic Measurement Instruments — 0.2%
National Instruments Corp.		6,166		185,658
Electronic Parts Distribution — 0.2%
Tech Data Corp.†		2,150		165,055
Energy-Alternate Sources — 0.2%
Renewable Energy Group, Inc.†		825		7,788
REX American Resources Corp.†		3,525		195,532
				203,320

Security Description	Shares		Value (Note 2)
Engineering/R&D Services — 0.3%
Argan, Inc.		1,850	$	65,046
EMCOR Group, Inc.		2,950		143,370
VSE Corp.		825		56,009
				264,425
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		4,350		104,052
Enterprise Software/Service — 0.5%
Tyler Technologies, Inc.†		1,524		196,001
Ultimate Software Group, Inc.†		1,294		250,389
Xactly Corp.†		2,975		20,379
				466,769
Entertainment Software — 0.3%
Take-Two Interactive Software, Inc.†		6,675		251,447
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		125		22,694
Finance-Consumer Loans — 0.3%
Nelnet, Inc., Class A		975		38,386
Synchrony Financial†		7,620		218,389
				256,775
Finance-Credit Card — 1.3%
MasterCard, Inc., Class A		6,137		579,947
Visa, Inc., Class A		9,017		689,620
				1,269,567
Finance-Investment Banker/Broker — 0.3%
Cowen Group, Inc., Class A†		5,900		22,479
E*TRADE Financial Corp.†		7,558		185,095
Investment Technology Group, Inc.		2,200		48,620
KCG Holdings, Inc., Class A†		2,325		27,784
				283,978
Finance-Other Services — 0.4%
Intercontinental Exchange, Inc.		922		216,799
MarketAxess Holdings, Inc.		975		121,709
				338,508
Financial Guarantee Insurance — 0.2%
MGIC Investment Corp.†		17,369		133,220
NMI Holdings, Inc., Class A†		2,900		14,645
				147,865
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		275		9,554
Food-Confectionery — 0.5%
Hershey Co.		5,198		478,684
Food-Dairy Products — 0.1%
Dean Foods Co.		3,500		60,620
Food-Misc./Diversified — 0.3%
B&G Foods, Inc.		1,000		34,810
Darling Ingredients, Inc.†		14,500		190,965
Pinnacle Foods, Inc.		1,625		72,605
				298,380

38

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Retail — 0.6%
Ingles Markets, Inc., Class A		1,225	$	45,938
Kroger Co.		12,806		489,829
Smart & Final Stores, Inc.†		375		6,075
				541,842
Food-Wholesale/Distribution — 0.3%
Sysco Corp.		5,610		262,155
Gambling (Non-Hotel) — 0.1%
Isle of Capri Casinos, Inc.†		7,400		103,600
Gas-Distribution — 0.2%
AGL Resources, Inc.		650		42,341
Laclede Group, Inc.		825		55,894
New Jersey Resources Corp.		1,325		48,270
Piedmont Natural Gas Co., Inc.		775		46,368
Southwest Gas Corp.		700		46,095
				238,968
Home Furnishings — 0.1%
Leggett & Platt, Inc.		1,150		55,660
Hotels/Motels — 0.2%
Diamond Resorts International, Inc.†		850		20,655
Hilton Worldwide Holdings, Inc.		9,400		211,688
				232,343
Housewares — 0.1%
NACCO Industries, Inc., Class A		825		47,363
Human Resources — 0.1%
Barrett Business Services, Inc.		1,800		51,750
Cross Country Healthcare, Inc.†		7,550		87,806
				139,556
Independent Power Producers — 0.1%
Ormat Technologies, Inc.		1,775		73,201
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		725		23,918
Industrial Gases — 0.5%
Air Products & Chemicals, Inc.		3,572		514,547
Instruments-Controls — 0.9%
Honeywell International, Inc.		4,378		490,555
Sensata Technologies Holding NV†		8,746		339,695
Watts Water Technologies, Inc., Class A		125		6,891
				837,141
Insurance-Life/Health — 0.2%
American Equity Investment Life Holding Co.		2,850		47,880
CNO Financial Group, Inc.		4,800		86,016
Primerica, Inc.		1,175		52,323
				186,219

Security Description	Shares		Value (Note 2)
Insurance-Multi-line — 0.0%
Kemper Corp.		1,425	$	42,137
Insurance-Property/Casualty — 0.1%
Ambac Financial Group, Inc.†		225		3,555
First American Financial Corp.		400		15,244
Global Indemnity PLC†		275		8,561
Navigators Group, Inc.†		625		52,419
ProAssurance Corp.		1,000		50,600
Stewart Information Services Corp.		175		6,349
				136,728
Insurance-Reinsurance — 0.0%
Aspen Insurance Holdings, Ltd.		325		15,503
Internet Application Software — 0.1%
Bazaarvoice, Inc.†		29,575		93,161
Internet Content-Entertainment — 1.2%
Facebook, Inc., Class A†		10,414		1,188,237
Internet Content-Information/News — 0.2%
LinkedIn Corp., Class A†		731		83,590
WebMD Health Corp.†		1,850		115,865
				199,455
Internet Security — 0.1%
AVG Technologies NV†		2,350		48,763
Mimecast, Ltd.†		1,500		14,595
Rapid7, Inc.†		875		11,436
VASCO Data Security International, Inc.†		1,675		25,795
				100,589
Investment Management/Advisor Services — 0.2%
BlackRock, Inc.		427		145,424
Federated Investors, Inc., Class B		425		12,261
				157,685
Lasers-System/Components — 0.0%
Coherent, Inc.†		250		22,975
Machinery-Construction & Mining — 0.0%
Hyster-Yale Materials Handling, Inc.		300		19,980
Machinery-General Industrial — 0.5%
Applied Industrial Technologies, Inc.		1,000		43,400
DXP Enterprises, Inc.†		2,200		38,632
Kadant, Inc.		1,625		73,385
Roper Technologies, Inc.		1,608		293,894
				449,311
Medical Information Systems — 0.3%
athenahealth, Inc.†		1,996		277,005
Medical Instruments — 0.5%
Boston Scientific Corp.†		16,254		305,738
CONMED Corp.		350		14,679
LivaNova PLC†		1,075		58,028
NuVasive, Inc.†		750		36,488
SurModics, Inc.†		3,359		61,839
				476,772

39

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical Products — 0.2%
Orthofix International NV†		2,298	$	95,413
Penumbra, Inc.†		125		5,750
Wright Medical Group NV†		3,664		60,822
				161,985
Medical-Biomedical/Gene — 3.1%
Aduro Biotech, Inc.†		225		2,882
Aegerion Pharmaceuticals, Inc.†		1,675		6,198
Alder Biopharmaceuticals, Inc.†		6,380		156,246
Amgen, Inc.		6,325		948,307
Applied Genetic Technologies Corp.†		125		1,748
Ardelyx, Inc.†		450		3,497
Arrowhead Pharmaceuticals, Inc.		4,800		23,136
Atara Biotherapeutics, Inc.†		725		13,797
Avalanche Biotechnologies, Inc.†		625		3,231
Bellicum Pharmaceuticals, Inc.†		1,875		17,531
Biogen, Inc.†		1,897		493,827
Blueprint Medicines Corp.†		600		10,830
Cambrex Corp.†		375		16,500
Celgene Corp.†		6,624		662,996
ChemoCentryx, Inc.†		1,025		2,552
Coherus Biosciences, Inc.†		1,025		21,761
Dimension Therapeutics, Inc.†		1,375		10,766
Edge Therapeutics, Inc.†		1,450		13,268
Halozyme Therapeutics, Inc.†		1,475		13,968
Idera Pharmaceuticals, Inc.†		2,600		5,148
Infinity Pharmaceuticals, Inc.†		2,700		14,229
Karyopharm Therapeutics, Inc.†		2,100		18,732
Kite Pharma, Inc.†		375		17,216
MacroGenics, Inc.†		875		16,406
Merrimack Pharmaceuticals, Inc.†		1,900		15,903
Nivalis Therapeutics, Inc.†		1,900		7,923
Prothena Corp. PLC†		1,075		44,247
PTC Therapeutics, Inc.†		2,325		14,973
Regeneron Pharmaceuticals, Inc.†		807		290,875
Sage Therapeutics, Inc.†		800		25,648
Spark Therapeutics, Inc.†		750		22,132
Tokai Pharmaceuticals, Inc.†		1,200		6,732
Trius Therapeutics, Inc. CVR†(1)(3)		6,700		0
Ultragenyx Pharmaceutical, Inc.†		500		31,655
Versartis, Inc.†		775		6,216
				2,961,076
Medical-Drugs — 2.9%
AbbVie, Inc.		9,716		554,978
ACADIA Pharmaceuticals, Inc.†		2,000		55,920
Adamas Pharmaceuticals, Inc.†		1,300		18,798

Security Description	Shares		Value (Note 2)
Medical-Drugs (continued)
Aimmune Therapeutics, Inc.†		500	$	6,780
Allergan PLC†		2,128		570,368
Amicus Therapeutics, Inc.†		4,050		34,222
Anacor Pharmaceuticals, Inc.†		675		36,079
Bristol-Myers Squibb Co.		10,915		697,250
Chiasma, Inc.†		775		7,099
Chimerix, Inc.†		550		2,811
Dicerna Pharmaceuticals, Inc.†		300		1,608
FibroGen, Inc.†		1,200		25,548
Global Blood Therapeutics, Inc.†		1,200		19,032
Immune Design Corp.†		1,000		13,000
Intra-Cellular Therapies, Inc.†		150		4,170
Ironwood Pharmaceuticals, Inc.†		18,235		199,491
Mallinckrodt PLC†		5,576		341,697
Ophthotech Corp.†		575		24,305
Orexigen Therapeutics, Inc.†		6,525		3,672
Pacira Pharmaceuticals, Inc.†		700		37,086
Prestige Brands Holdings, Inc.†		1,325		70,742
Radius Health, Inc.†		750		23,580
Relypsa, Inc.†		875		11,856
Synergy Pharmaceuticals, Inc.†		9,150		25,254
TherapeuticsMD, Inc.†		725		4,640
				2,789,986
Medical-Generic Drugs — 0.0%
Amphastar Pharmaceuticals, Inc.†		1,150		13,800
Avexis, Inc.†		425		11,577
				25,377
Medical-HMO — 0.2%
Centene Corp.†		1,750		107,748
Molina Healthcare, Inc.†		1,525		98,347
				206,095
Medical-Hospitals — 0.3%
Adeptus Health, Inc., Class A†		375		20,827
Universal Health Services, Inc., Class B		2,486		310,054
				330,881
Medical-Outpatient/Home Medical — 0.0%
Addus HomeCare Corp.†		625		10,744
Amsurg Corp.†		475		35,435
				46,179
Medical-Wholesale Drug Distribution — 0.1%
Owens & Minor, Inc.		3,425		138,439
Metal Processors & Fabrication — 0.2%
Rexnord Corp.†		11,046		223,350
MRI/Medical Diagnostic Imaging — 0.2%
Alliance HealthCare Services, Inc.†		2,975		21,390
Surgical Care Affiliates, Inc.†		4,000		185,120
				206,510

40

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Multimedia — 0.6%
Walt Disney Co.		5,970	$	592,881
Networking Products — 0.2%
NETGEAR, Inc.†		1,550		62,573
Polycom, Inc.†		9,925		110,664
				173,237
Office Furnishings-Original — 0.0%
Interface, Inc.		857		15,889
Office Supplies & Forms — 0.2%
ACCO Brands Corp.†		17,175		154,231
Oil & Gas Drilling — 0.0%
Parker Drilling Co.†		4,225		8,957
Oil Companies-Exploration & Production — 0.2%
Anadarko Petroleum Corp.		1,400		65,198
Bill Barrett Corp.†		14,325		89,102
Rex Energy Corp.†		5,350		4,110
Stone Energy Corp.†		9,225		7,288
Unit Corp.†		1,625		14,316
				180,014
Oil Field Machinery & Equipment — 0.0%
Exterran Corp.†		187		2,891
Oil Refining & Marketing — 0.1%
Adams Resources & Energy, Inc.		250		9,995
Alon USA Energy, Inc.		1,125		11,610
Phillips 66		779		67,454
Western Refining, Inc.		525		15,272
				104,331
Oil-Field Services — 0.2%
Archrock, Inc.		850		6,800
Baker Hughes, Inc.		1,819		79,727
Basic Energy Services, Inc.†		1,850		5,106
Gulfmark Offshore, Inc., Class A†		5,275		32,547
Key Energy Services, Inc.†		12,025		4,442
Pioneer Energy Services Corp.†		3,550		7,810
SEACOR Holdings, Inc.†		1,450		78,952
				215,384
Paper & Related Products — 0.0%
Domtar Corp.		550		22,275
Pharmacy Services — 0.7%
Diplomat Pharmacy, Inc.†		7,815		214,131
Express Scripts Holding Co.†		6,761		464,413
				678,544
Poultry — 0.1%
Pilgrim's Pride Corp.†		2,250		57,150
Sanderson Farms, Inc.		600		54,108
				111,258
Power Converter/Supply Equipment — 0.1%
Advanced Energy Industries, Inc.†		2,500		86,975

Security Description	Shares		Value (Note 2)
Printing-Commercial — 0.2%
Deluxe Corp.		1,425	$	89,048
Ennis, Inc.		3,175		62,071
				151,119
Protection/Safety — 0.0%
Landauer, Inc.		1,000		33,070
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		3,150		62,811
Racetracks — 0.0%
Speedway Motorsports, Inc.		1,150		22,805
Real Estate Investment Trusts — 2.4%
American Assets Trust, Inc.		1,275		50,898
American Tower Corp.		6,420		657,215
Armada Hoffler Properties, Inc.		175		1,969
ARMOUR Residential REIT, Inc.		1,950		41,983
Ashford Hospitality Prime, Inc.		158		1,844
Ashford Hospitality Trust, Inc.		550		3,509
Capstead Mtg. Corp.		8,075		79,862
CBL & Associates Properties, Inc.		1,400		16,660
CoreSite Realty Corp.		3,100		217,031
Cousins Properties, Inc.		350		3,633
CYS Investments, Inc.		19,425		158,119
DCT Industrial Trust, Inc.		668		26,366
DiamondRock Hospitality Co.		1,350		13,662
EastGroup Properties, Inc.		750		45,277
EPR Properties		825		54,961
Equity LifeStyle Properties, Inc.		475		34,547
FelCor Lodging Trust, Inc.		1,300		10,556
First Industrial Realty Trust, Inc.		675		15,350
Franklin Street Properties Corp.		1,175		12,467
Gladstone Commercial Corp.		275		4,505
Government Properties Income Trust		1,275		22,759
Gramercy Property Trust		1,700		14,365
Hersha Hospitality Trust		2,375		50,682
Hospitality Properties Trust		1,400		37,184
LTC Properties, Inc.		2,175		98,397
Mack-Cali Realty Corp.		1,225		28,788
Monogram Residential Trust, Inc.		1,200		11,832
National Retail Properties, Inc.		525		24,255
Pennsylvania Real Estate Investment Trust		1,350		29,498
Post Properties, Inc.		725		43,311
Potlatch Corp.		2,500		78,750
PS Business Parks, Inc.		250		25,128
Ramco-Gershenson Properties Trust		2,500		45,075
RLJ Lodging Trust		3,525		80,652

41

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Saul Centers, Inc.		675	$	35,788
Silver Bay Realty Trust Corp.		300		4,455
Simon Property Group, Inc.		1,067		221,605
Summit Hotel Properties, Inc.		450		5,387
Taubman Centers, Inc.		450		32,053
				2,340,378
Real Estate Management/Services — 0.2%
Jones Lang LaSalle, Inc.		1,853		217,394
Real Estate Operations & Development — 0.2%
Alexander & Baldwin, Inc.		1,750		64,190
Forestar Group, Inc.†		8,800		114,752
St. Joe Co.†		275		4,716
				183,658
Recreational Vehicles — 0.4%
Polaris Industries, Inc.		3,486		343,301
Research & Development — 0.1%
INC Research Holdings, Inc.†		950		39,150
PAREXEL International Corp., Class A†		900		56,457
				95,607
Respiratory Products — 0.1%
Inogen, Inc.†		2,725		122,571
Retail-Apparel/Shoe — 0.4%
Abercrombie & Fitch Co., Class A		2,875		90,677
Children's Place, Inc.		2,770		231,212
Guess?, Inc.		1,000		18,770
				340,659
Retail-Auto Parts — 0.2%
AutoZone, Inc.†		274		218,293
Retail-Building Products — 0.9%
Lowe's Cos., Inc.		11,030		835,522
Retail-Discount — 0.9%
Big Lots, Inc.		1,825		82,654
Costco Wholesale Corp.		1,912		301,293
Dollar Tree, Inc.†		5,875		484,453
				868,400
Retail-Gardening Products — 0.3%
Tractor Supply Co.		3,082		278,798
Retail-Hair Salons — 0.2%
Regis Corp.†		10,125		153,799
Retail-Jewelry — 0.0%
Movado Group, Inc.		1,275		35,101
Retail-Pawn Shops — 0.0%
Cash America International, Inc.		750		28,980
Retail-Regional Department Stores — 0.0%
Dillard's, Inc., Class A		200		16,982
Retail-Restaurants — 1.5%
Bloomin' Brands, Inc.		1,175		19,822
Bob Evans Farms, Inc.		1,000		46,690

Security Description	Shares		Value (Note 2)
Retail-Restaurants (continued)
Bravo Brio Restaurant Group, Inc.†		2,200	$	17,050
Chipotle Mexican Grill, Inc.†		464		218,530
DineEquity, Inc.		125		11,679
Dunkin' Brands Group, Inc.		5,485		258,728
Jack in the Box, Inc.		1,725		110,176
Ruby Tuesday, Inc.†		3,750		20,175
Sonic Corp.		5,150		181,074
Starbucks Corp.		9,302		555,329
				1,439,253
Retail-Video Rentals — 0.2%
Outerwall, Inc.		5,795		214,357
Retail-Vitamins & Nutrition Supplements — 0.0%
Flex Pharma, Inc.†		2,025		22,214
Rubber-Tires — 0.2%
Cooper Tire & Rubber Co.		5,675		210,088
Rubber/Plastic Products — 0.0%
Myers Industries, Inc.		425		5,466
Satellite Telecom — 0.1%
DigitalGlobe, Inc.†		5,775		99,908
Savings & Loans/Thrifts — 0.4%
Astoria Financial Corp.		325		5,148
BankFinancial Corp.		250		2,955
Beneficial Bancorp, Inc.†		1,192		16,318
Capitol Federal Financial, Inc.		275		3,647
Charter Financial Corp.		1,050		14,175
Flushing Financial Corp.		975		21,079
Investors Bancorp, Inc.		3,225		37,539
Meridian Bancorp, Inc.		8,175		113,796
Northfield Bancorp, Inc.		8,475		139,329
OceanFirst Financial Corp.		900		15,912
Oritani Financial Corp.		2,100		35,637
				405,535
Schools — 0.2%
K12, Inc.†		1,275		12,610
Strayer Education, Inc.†		2,725		132,843
				145,453
Security Services — 0.0%
Ascent Capital Group, Inc., Class A†		700		10,367
Semiconductor Components-Integrated Circuits — 0.1%
Integrated Device Technology, Inc.†		4,025		82,271
Semiconductor Equipment — 0.2%
Cohu, Inc.		6,900		81,972
Tessera Technologies, Inc.		775		24,025
Xcerra Corp.†		8,500		55,420
				161,417
Steel-Producers — 0.1%
Commercial Metals Co.		675		11,455
Worthington Industries, Inc.		2,325		82,863
				94,318

42

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Telecom Equipment-Fiber Optics — 0.0%
Harmonic, Inc.†		7,875	$	25,751
Telecom Services — 0.1%
EarthLink Holdings Corp.		9,800		55,566
Ooma, Inc.†		2,575		15,192
Vonage Holdings Corp.†		1,150		5,256
West Corp.		2,650		60,473
				136,487
Telecommunication Equipment — 0.3%
CommScope Holding Co., Inc.†		7,305		203,956
Plantronics, Inc.		2,450		96,015
				299,971
Telephone-Integrated — 0.1%
Cincinnati Bell, Inc.†		24,100		93,267
General Communication, Inc., Class A†		325		5,954
Windstream Holdings, Inc.		3,600		27,648
				126,869
Television — 0.1%
ION Media Networks, Inc.†(1)(2)(3)		4		3,906
Sinclair Broadcast Group, Inc., Class A		3,775		116,081
				119,987
Therapeutics — 0.2%
aTyr Pharma, Inc.†		2,300		9,062
Axsome Therapeutics, Inc.†		1,850		15,910
Cara Therapeutics, Inc.†		550		3,421
Flexion Therapeutics, Inc.†		1,400		12,880
Mirati Therapeutics, Inc.†		925		19,795
Neurocrine Biosciences, Inc.†		1,150		45,482
Portola Pharmaceuticals, Inc.†		350		7,140
Proteostasis Therapeutics, Inc.†		800		7,712
Seres Therapeutics, Inc.†		600		15,936
Xencor, Inc.†		925		12,414
Zafgen, Inc.†		175		1,169
				150,921
Tobacco — 0.5%
Altria Group, Inc.		7,370		461,804
Universal Corp.		700		39,767
				501,571
Toys — 0.2%
Mattel, Inc.		5,758		193,584
Transactional Software — 0.1%
ACI Worldwide, Inc.†		2,500		51,975
Transport-Air Freight — 0.0%
Atlas Air Worldwide Holdings, Inc.†		1,000		42,270
Transport-Services — 0.2%
Matson, Inc.		3,650		146,620

Security Description	Shares/ Principal Amount(14)		Value (Note 2)
Transport-Truck — 0.1%
ArcBest Corp.		1,550	$	33,464
P.A.M. Transportation Services, Inc.†		309		9,517
Swift Transportation Co.†		1,625		30,274
USA Truck, Inc.†		2,900		54,636
				127,891
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		250		15,390
Water — 0.1%
American States Water Co.		2,950		116,112
Web Hosting/Design — 0.1%
Web.com Group, Inc.†		3,875		76,803
Web Portals/ISP — 2.3%
Alphabet, Inc., Class C†		2,893		2,155,140
Blucora, Inc.†		1,975		10,191
				2,165,331
Wireless Equipment — 0.4%
InterDigital, Inc.		2,625		146,081
Motorola Solutions, Inc.		2,524		191,067
Ubiquiti Networks, Inc.†		2,475		82,343
				419,491
Total Common Stocks (cost $50,035,492)				55,701,350
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.2%
Banks-Commercial — 0.3%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/19/2019(3)(4)	EUR	200,000		210,170
Banco Santander SA FRS 6.25% due 03/12/2019(4)	EUR	100,000		101,965
				312,135
Building Societies — 0.2%
Nationwide Building Society FRS 6.88% due 06/20/2019(4)	GBP	100,000		134,289
Diversified Banking Institutions — 0.6%
Barclays PLC FRS 8.25% due 12/15/2018(4)		200,000		199,594
Credit Suisse Group AG FRS 6.25% due 12/18/2024(4)		225,000		206,617
Societe Generale SA FRS 8.25% due 11/29/2018(4)		200,000		201,500
				607,711
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056(3)		8,000		1
Insurance-Multi-line — 0.0%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		30,000		32,025

43

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030	$	65,000	$	91,195
Total Preferred Securities/Capital Securities (cost $1,319,358)				1,177,356
ASSET BACKED SECURITIES — 15.2%
Diversified Financial Services — 15.2%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.60% due 01/25/2037(5)		77,725		75,172
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		8,000		8,053
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 2.07% due 07/27/2026*(6)		250,000		247,812
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.47% due 04/20/2023*(6)		188,222		187,430
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.01% due 10/25/2034(3)		12,313		11,421
Atrium XI FRS Series 11-A, Class B 2.77% due 10/23/2025*(6)		250,000		247,315
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.74% due 02/10/2051(7)		91,254		94,579
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(7)		200,000		204,056
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.66% due 02/25/2036(5)		152,945		136,007
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(7)		67,212		69,762
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.72% due 06/11/2040(7)		35,281		36,140
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		13,825		13,295
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		1,829		1,829

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.09% due 04/27/2027*(6)	$	250,000	$	248,112
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class B 3.07% due 10/15/2026*(6)		250,000		252,042
Cent CLO, Ltd. FRS Series 2015-23A, Class A1 2.11% due 04/17/2026*(6)		250,000		247,445
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 2.10% due 05/24/2026*(6)		250,000		248,050
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(7)		101,000		107,984
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(7)		65,000		70,984
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(7)		125,000		137,753
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.14% due 12/10/2049(7)		29,776		31,161
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.04% due 03/25/2036(5)		83,965		79,752
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(7)		103,871		105,897
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(7)		97,418		101,632
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.10% due 12/10/2049(7)		74,329		77,634
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(7)		90,000		93,020
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(7)		105,000		110,377
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(7)		125,267		132,896

44

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Commercial Mtg. Trust Series 2014-CR20, Class A4 3.59% due 11/10/2047(7)	$	75,000	$	79,854
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(7)		128,000		136,008
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(7)		127,000		135,002
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(7)		123,000		133,175
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(7)		60,000		65,558
Commercial Mtg. Trust Series 2013-CR12, Class A4 4.05% due 10/10/2046(7)		65,000		71,522
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.23% due 07/10/2045(7)		45,000		50,347
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(7)		88,443		90,257
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.84% due 06/10/2046(7)		8,672		8,663
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(5)		4,347		4,360
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5)		57,426		53,083
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(5)		2,958		2,770
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(7)		545		545
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(7)		31,133		31,366
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.90% due 06/15/2057(7)(8)		1,037,412		57,505
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(7)		132,000		140,808
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*(3)		45,886		46,957

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*	$	85,000	$	85,039
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.43% due 05/25/2035(5)		136,608		122,425
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		28,515		28,472
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020*		115,000		114,488
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		20,000		19,994
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		155,000		154,378
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		6,000		6,012
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		40,000		39,837
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		12,000		11,994
Galaxy XIX CLO, Ltd. FRS Series 2015-19A, Class A1A 2.17% due 01/24/2027*(6)		250,000		248,417
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(7)		110,000		111,993
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(7)		30,000		35,777
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(7)		90,000		94,932
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(7)		120,000		128,531
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(7)		100,000		108,018
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(7)		115,000		125,162

45

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
GS Mtg. Securities Trust Series 2014-GC18, Class A4 4.07% due 01/10/2047(7)	$	55,000	$	60,125
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.53% due 03/25/2037(3)		218,567		109,553
GSR Mtg. Loan Trust FRS Series 2006-AR2, Class 3A1 2.85% due 04/25/2036(5)		12,478		10,432
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.88% due 03/25/2047(5)		38,083		31,265
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.91% due 01/25/2036(5)		57,288		52,843
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.96% due 04/25/2035(5)		49,102		46,459
GTP Acquisition Partners I LLC Series 2015-2, CLASS A 3.48% due 06/15/2050*		135,000		136,823
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(7)		160,000		160,211
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.97% due 05/25/2035(5)		79,344		72,068
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(7)		98,409		104,563
JP Morgan Chase Commercial Mtg. Securities Trust Series 2015-JP1, Class A5 3.91% due 01/15/2049(7)		101,000		109,298
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(7)		95,000		105,139
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(7)		152,235		154,545
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.70% due 02/12/2049(7)		92,229		94,746
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(7)		80,005		83,400
JPMBB Commercial Mtg. Securities Trust Series 2015-C28, Class A4 3.23% due 10/15/2048(7)		106,000		108,997

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
JPMBB Commercial Mtg. Securities Trust VRS Series 2015-C33, Class A4 3.77% due 12/15/2048(7)	$	120,000	$	128,620
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(7)		120,000		129,092
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(7)		44,618		45,557
LB-UBS Commercial Mtg. Trust VRS Series 2006-C4, Class A4 5.86% due 06/15/2038(7)		28,722		28,718
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(7)		77,897		79,490
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.08% due 04/15/2041(7)		110,215		116,511
LSTAR Securities Investment Trust FRS Series 2015-2, Class A 2.43% due 01/01/2020*(5)		88,982		87,663
LSTAR Securities Investment Trust FRS Series 2015-4, Class A1 2.43% due 04/01/2020*(5)		88,276		85,628
LSTAR Securities Investment Trust FRS Series 2015-9, Class A1 2.44% due 10/01/2020*(5)		140,152		137,389
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class A1A 1.90% due 10/23/2025*(6)		250,000		246,963
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A2, Class A2 2.64% due 02/25/2035(5)		62,831		62,553
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.73% due 12/25/2034(5)		38,516		37,650
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(7)		106,887		108,884
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(7)		48,083		49,853

46

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.74% due 06/12/2050(7)	$	63,610	$	65,688
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.16% due 12/15/2047(7)(8)		292,680		18,145
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(7)		110,000		117,900
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(7)		20,000		21,912
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(7)		100,000		104,101
Morgan Stanley Capital I Trust Series 2006-IQ12, Class A4 5.33% due 12/15/2043(7)		124,983		126,071
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(7)		95,000		97,274
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(7)		54,786		57,089
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.27% due 01/11/2043(7)		46,176		48,966
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5)		47,274		41,961
MortgageIT Trust FRS Series 2005-4, Class A1 0.71% due 10/25/2035(5)		190,682		172,790
Neuberger Berman CLO XVII, Ltd. FRS Series 2014-17A, Class A 2.09% due 08/04/2025*(6)		250,000		248,267
Nomura Asset Acceptance Corp Alternative Loan Trust FRS Series 2006-AF1, Class 3A1 3.56% due 06/25/2036(5)		129,615		95,835
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)		17,187		17,148
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		370,000		371,955

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.17% due 02/15/2026*(6)	$	250,000	$	248,662
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.15% due 04/17/2027*(6)		215,000		213,431
Ocwen Master Advance Receivables Trust Series 2015-1, Class AT1 2.54% due 09/17/2046*		115,000		114,936
OHA Credit Partners VII, Ltd. FRS Series 2012-7A, Class A 2.04% due 11/20/2023*(6)		200,000		200,050
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		135,000		135,855
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.53% due 02/25/2037(3)		42,716		22,131
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 2.17% due 04/17/2026*(6)		250,000		248,937
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.07% due 04/30/2027*(6)		250,000		246,992
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 2.13% due 04/15/2027*(6)		250,000		247,022
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(3)(9)		197,581		97,932
RFMSI Series Trust FRS Series 2005-SA3, Class 1A 2.91% due 08/25/2035(5)		132,930		98,794
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(5)		3,206		3,161
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.56% due 05/25/2037(3)		101,747		65,132
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.69% due 02/20/2047(5)		98,884		83,684
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 2.15% due 04/15/2027*(6)		250,000		248,222
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.68% due 11/25/2036(3)		160,000		105,227

47

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(3)	$	69,024	$	68,739
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 2.12% due 04/20/2027*(6)		250,000		247,792
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(7)		70,000		72,628
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 2.10% due 04/18/2027*(6)		250,000		247,615
Voya CLO, Ltd. FRS Series 2014-4A, Class A2A 3.02% due 10/14/2026*(6)		250,000		250,577
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.16% due 11/25/2046(5)		119,424		105,324
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.19% due 09/15/2057(7)(8)		997,615		70,723
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(7)		65,000		70,063
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.74% due 10/25/2036(5)		58,248		53,674
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.76% due 11/25/2034(5)		3,050		3,038
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.85% due 01/25/2035(5)		126,902		126,312
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.87% due 03/25/2035(5)		88,764		89,281
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		125,000		124,921
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(7)		75,000		80,114
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(7)		120,000		130,853

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(7)	$	110,000	$	120,304
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(7)		50,111		55,028
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(7)		35,000		38,675
Total Asset Backed Securities (cost $14,643,375)				14,646,828
U.S. CORPORATE BONDS & NOTES — 12.3%
Advertising Agencies — 0.0%
Omnicom Group, Inc. Company Guar. Notes 3.60% due 04/15/2026		35,000		35,852
Aerospace/Defense — 0.1%
BAE Systems Holdings, Inc. Company Guar. Notes 2.85% due 12/15/2020*		10,000		10,159
Lockheed Martin Corp. Senior Notes 2.50% due 11/23/2020		20,000		20,485
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		15,000		16,772
				47,416
Agricultural Chemicals — 0.1%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		30,000		26,110
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		65,000		61,213
				87,323
Apparel Manufacturers — 0.1%
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		45,000		46,237
Applications Software — 0.1%
Microsoft Corp. Senior Notes 2.00% due 11/03/2020		15,000		15,368
Microsoft Corp. Senior Notes 2.65% due 11/03/2022		100,000		103,981
				119,349
Auto-Cars/Light Trucks — 0.6%
Ford Motor Co. Senior Notes 7.45% due 07/16/2031		15,000		19,542

48

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto-Cars/Light Trucks (continued)
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017	$	11,000	$	10,986
Ford Motor Credit Co. LLC Senior Notes 3.16% due 08/04/2020		200,000		204,014
General Motors Co. Senior Notes 6.60% due 04/01/2036		15,000		16,506
General Motors Co. Senior Notes 6.75% due 04/01/2046		5,000		5,684
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018		50,000		49,989
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		80,000		82,033
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		110,000		113,553
General Motors Financial Co., Inc. Company Guar. Notes 5.25% due 03/01/2026		30,000		31,378
				533,685
Banks-Commercial — 0.3%
Capital One NA Senior Notes 1.65% due 02/05/2018		250,000		248,199
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		60,000		62,070
				310,269
Banks-Fiduciary — 0.0%
Bank of New York Mellon Corp. Senior Notes 2.60% due 08/17/2020		40,000		40,962
Banks-Super Regional — 0.4%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		10,000		10,125
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		60,000		62,058
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		75,000		76,173
Wells Fargo & Co. Senior Notes 2.50% due 03/04/2021		50,000		50,632

Security Description	Principal Amount(14)		Value (Note 2)
Banks-Super Regional (continued)
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045	$	80,000	$	85,867
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		85,000		98,501
				383,356
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		30,000		28,950
Brewery — 0.7%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		45,000		45,643
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.15% due 02/01/2019		10,000		10,219
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		210,000		218,321
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		65,000		70,246
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		225,000		251,451
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 2.50% due 07/15/2022		20,000		20,167
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		40,000		38,002
				654,049
Broadcast Services/Program — 0.1%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		50,000		51,250
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		60,000		63,450
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		15,000		16,500
Building-Heavy Construction — 0.2%
SBA Tower Trust Mtg. Notes 2.90% due 10/15/2044*		80,000		80,379

49

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building-Heavy Construction (continued)
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*	$	85,000	$	84,923
				165,302
Building-Residential/Commercial — 0.2%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		60,000		61,350
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		55,000		56,787
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		25,000		25,000
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,325
				148,462
Cable/Satellite TV — 1.0%
CCO Holdings LLC/ CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		46,000		47,380
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		65,000		66,419
CCO Safari II LLC Senior Sec. Notes 4.46% due 07/23/2022*		40,000		41,811
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*		55,000		58,015
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		120,000		133,527
Comcast Corp. Company Guar. Notes 2.75% due 03/01/2023		85,000		87,836
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026		70,000		72,881
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		55,000		58,574
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		30,000		33,839
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		35,000		33,753
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		70,000		67,524
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,530

Security Description	Principal Amount(14)		Value (Note 2)
Cable/Satellite TV (continued)
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021	$	60,000	$	61,950
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		35,000		31,070
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		25,000		25,873
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		45,000		49,510
Time Warner Cable, Inc. Company Guar. Notes 8.75% due 02/14/2019		90,000		105,380
				978,872
Casino Hotels — 0.0%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Senior Notes 5.38% due 03/15/2022		35,000		35,295
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		20,000		20,950
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		40,000		29,700
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		9,360
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		35,000		36,137
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		10,000		10,450
				106,597
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		25,000		24,687
Computer Services — 0.1%
Hewlett Packard Enterprise Co. Senior Notes 2.45% due 10/05/2017*		75,000		75,490
Computers — 0.0%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		30,000		27,095
Containers-Metal/Glass — 0.0%
Ball Corp. Company Guar. Notes 4.38% due 12/15/2020		5,000		5,203

50

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Containers-Metal/Glass (continued)
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.88% due 08/15/2023*	$	15,000	$	15,628
				20,831
Data Processing/Management — 0.0%
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		30,000		30,750
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.25% due 11/15/2024*		10,000		10,325
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*		5,000		5,263
				15,588
Diagnostic Equipment — 0.0%
Danaher Corp. Senior Notes 2.40% due 09/15/2020		30,000		30,973
Diversified Banking Institutions — 2.6%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		50,000		50,074
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		50,000		49,748
Bank of America Corp. Sub. Notes 4.00% due 01/22/2025		75,000		75,114
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		40,000		42,078
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		10,000		10,183
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		30,000		33,110
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		150,000		172,481
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		55,000		60,391
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		150,000		149,277
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		40,000		40,788
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		120,000		120,749

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Banking Institutions (continued)
Citigroup, Inc. Sub. Notes 4.60% due 03/09/2026	$	25,000	$	25,633
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		75,000		78,543
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		55,000		60,187
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		55,000		55,707
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		80,000		80,659
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		75,000		76,090
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		20,000		20,352
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		20,000		20,187
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045		5,000		5,226
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		65,000		66,032
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		27,000		29,960
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		17,000		20,587
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		45,000		55,950
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		50,000		57,973
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		46,000		54,944
JPMorgan Chase & Co. Senior Notes 2.55% due 10/29/2020		25,000		25,337
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		70,000		71,684
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		16,000		16,687
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		40,000		43,299

51

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027	$	120,000	$	124,816
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		30,000		32,781
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		15,000		18,419
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		130,000		149,717
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		30,000		33,928
Morgan Stanley Senior Notes 1.88% due 01/05/2018		150,000		150,477
Morgan Stanley Senior Notes 2.65% due 01/27/2020		20,000		20,296
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		60,000		60,063
Morgan Stanley Senior Notes 4.00% due 07/23/2025		15,000		15,685
Morgan Stanley Senior Notes 4.30% due 01/27/2045		30,000		30,187
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		38,000		39,105
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		5,000		5,417
Morgan Stanley Senior Notes 6.63% due 04/01/2018		125,000		136,567
				2,486,488
Electric-Integrated — 0.2%
AES Corp. Senior Notes 4.88% due 05/15/2023		3,000		2,888
AES Corp. Senior Notes 5.50% due 03/15/2024		5,000		4,887
AES Corp. Senior Notes 8.00% due 06/01/2020		50,000		56,750
Exelon Corp. Senior Notes 2.85% due 06/15/2020		50,000		51,025
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		50,000		63,481
				179,031

Security Description	Principal Amount(14)		Value (Note 2)
Entertainment Software — 0.1%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*	$	60,000	$	63,075
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 5.50% due 01/15/2019		15,000		14,738
Navient Corp. Senior Notes 8.45% due 06/15/2018		45,000		48,206
Synchrony Financial Senior Notes 2.60% due 01/15/2019		60,000		60,128
				123,072
Finance-Credit Card — 0.1%
Visa, Inc. Senior Notes 2.80% due 12/14/2022		35,000		36,501
Visa, Inc. Senior Notes 4.30% due 12/14/2045		50,000		54,700
				91,201
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		40,000		43,932
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		10,000		722
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(3)		11,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(3)		15,000		2
				44,657
Finance-Other Services — 0.0%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		35,000		35,737
Financial Guarantee Insurance — 0.0%
Radian Group, Inc. Senior Notes 7.00% due 03/15/2021		5,000		5,178
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018*		10,000		10,092
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020*		35,000		35,950
				46,042

52

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021	$	35,000	$	35,407
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 4.50% due 11/15/2020		40,000		41,300
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		40,000		40,996
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./ KCI USA, Inc. Senior Sec. Notes 7.88% due 02/15/2021*		25,000		26,437
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		2,000		2,100
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		4,000		4,190
				6,290
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018		40,000		40,738
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		15,000		15,251
				55,989
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		5,000		5,113
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		65,000		94,229
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		15,000		15,113
Machinery-Farming — 0.0%
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 11/06/2020		25,000		24,563
Medical Instruments — 0.1%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		40,000		41,393

Security Description	Principal Amount(14)		Value (Note 2)
Medical Instruments (continued)
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035	$	15,000	$	16,239
				57,632
Medical Products — 0.1%
Stryker Corp. Senior Notes 2.63% due 03/15/2021		30,000		30,592
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		85,000		84,971
				115,563
Medical-Biomedical/Gene — 0.1%
Celgene Corp. Senior Notes 4.63% due 05/15/2044		15,000		15,282
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		25,000		26,417
				41,699
Medical-Drugs — 0.1%
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		65,000		66,346
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		10,000		10,259
				76,605
Medical-HMO — 0.4%
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		15,000		15,171
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		25,000		25,302
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		25,000		24,678
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		50,000		52,734
UnitedHealth Group, Inc. Senior Notes 1.70% due 02/15/2019		50,000		50,414
UnitedHealth Group, Inc. Senior Notes 2.13% due 03/15/2021		70,000		70,612
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		35,000		37,233
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		55,000		59,262
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		20,000		22,934

53

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-HMO (continued)
WellCare Health Plans, Inc. Senior Notes 5.75% due 11/15/2020	$	15,000	$	15,525
				373,865
Medical-Hospitals — 0.2%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		20,000		20,250
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		20,000		20,488
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		5,000		5,413
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,487
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		35,000		38,412
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		20,000		20,900
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		60,000		63,900
				179,850
Medical-Wholesale Drug Distribution — 0.0%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		25,000		25,117
Multimedia — 0.4%
21st Century Fox America, Inc. Company Guar. Notes 3.70% due 10/15/2025		35,000		36,647
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		75,000		90,213
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		35,000		42,421
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		100,000		127,861
Time Warner, Inc. Company Guar. Notes 7.63% due 04/15/2031		40,000		51,058
				348,200
Networking Products — 0.1%
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		115,000		117,288

Security Description	Principal Amount(14)		Value (Note 2)
Oil Companies-Exploration & Production — 0.4%
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026	$	60,000	$	60,528
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		40,000		40,837
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		10,000		10,824
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		15,000		13,800
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		15,000		14,700
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026		20,000		20,797
Hess Corp. Senior Notes 5.60% due 02/15/2041		20,000		17,765
Hess Corp. Senior Notes 6.00% due 01/15/2040		20,000		18,428
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		60,000		63,508
Noble Energy, Inc. Senior Notes 4.15% due 12/15/2021		25,000		24,957
Pioneer Natural Resources Co. Senior Notes 3.95% due 07/15/2022		5,000		5,077
Pioneer Natural Resources Co. Senior Notes 4.45% due 01/15/2026		40,000		40,315
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		3,475
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		7,300
				342,311
Oil Companies-Integrated — 0.3%
ConocoPhillips Co. Company Guar. Notes 3.35% due 11/15/2024		25,000		24,151
ConocoPhillips Co. Company Guar. Notes 4.20% due 03/15/2021		45,000		46,994
ConocoPhillips Co. Company Guar. Notes 4.95% due 03/15/2026		40,000		41,758
Exxon Mobil Corp. Senior Notes 2.22% due 03/01/2021		50,000		50,885

54

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated (continued)
Exxon Mobil Corp. Senior Notes 2.73% due 03/01/2023	$	40,000	$	40,682
Exxon Mobil Corp. Senior Notes 3.04% due 03/01/2026		20,000		20,469
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		45,000		38,187
				263,126
Oil Refining & Marketing — 0.0%
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		5,000		4,913
Oil-Field Services — 0.0%
Halliburton Co. Senior Notes 2.70% due 11/15/2020		25,000		25,381
Paper & Related Products — 0.0%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		4,000		3,815
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		25,000		24,406
				28,221
Pipelines — 0.5%
DCP Midstream LLC Senior Notes 9.75% due 03/15/2019*		5,000		4,781
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		25,000		20,531
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		70,000		67,375
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		85,000		73,738
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		80,000		68,905
Kinder Morgan Energy Partners LP Company Guar. Notes 5.30% due 09/15/2020		10,000		10,418
Kinder Morgan Energy Partners LP Company Guar. Notes 6.85% due 02/15/2020		10,000		10,927
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		50,000		42,549
Magellan Midstream Partners LP Senior Notes 5.00% due 03/01/2026		10,000		10,814

Security Description	Principal Amount(14)		Value (Note 2)
Pipelines (continued)
MPLX LP Company Guar. Notes 4.50% due 07/15/2023*	$	6,000	$	5,533
MPLX LP Company Guar. Notes 4.88% due 12/01/2024*		10,000		9,232
MPLX LP Company Guar. Notes 4.88% due 06/01/2025*		10,000		9,118
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		25,000		22,949
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019*		15,000		14,925
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022*		25,000		24,750
Williams Partners LP Senior Notes 3.60% due 03/15/2022		110,000		90,576
				487,121
Real Estate Investment Trusts — 0.4%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		85,000		87,137
American Tower Corp. Senior Notes 3.45% due 09/15/2021		25,000		25,564
HCP, Inc. Senior Notes 5.38% due 02/01/2021		25,000		27,302
HCP, Inc. Senior Notes 6.00% due 01/30/2017		65,000		67,145
Kimco Realty Corp. Senior Notes 3.40% due 11/01/2022		10,000		10,137
Liberty Property LP Senior Notes 3.38% due 06/15/2023		25,000		24,698
Liberty Property LP Senior Notes 4.13% due 06/15/2022		20,000		20,829
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		25,000		26,216
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		61,000		67,088
Welltower, Inc. Senior Notes 5.25% due 01/15/2022		50,000		54,598
				410,714

55

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Operations & Development — 0.1%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021	$	75,000	$	78,130
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		25,000		31,887
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023		15,000		14,906
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		20,000		19,896
				66,689
Retail-Automobile — 0.0%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		25,000		24,750
Retail-Drug Store — 0.2%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		75,000		77,839
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		20,000		21,582
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		55,000		63,697
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		8,628		9,347
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		11,640		12,881
				185,346
Retail-Perfume & Cosmetics — 0.0%
Sally Holdings LLC/Sally Capital, Inc. Company Guar. Notes 5.63% due 12/01/2025		5,000		5,325
Retail-Restaurants — 0.0%
McDonald's Corp. Senior Notes 2.75% due 12/09/2020		20,000		20,715
Security Services — 0.0%
ADT Corp. Senior Notes 6.25% due 10/15/2021		35,000		35,175
Steel-Producers — 0.1%
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		10,000		10,100
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		10,000		10,125

Security Description	Principal Amount(14)		Value (Note 2)
Steel-Producers (continued)
United States Steel Corp. Senior Notes 7.38% due 04/01/2020	$	30,000	$	23,400
				43,625
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		20,000		20,550
Telephone-Integrated — 0.6%
AT&T, Inc. Senior Notes 1.75% due 01/15/2018		50,000		50,159
AT&T, Inc. Senior Notes 2.40% due 03/15/2017		25,000		25,292
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		40,000		41,555
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		25,000		26,345
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		25,000		24,652
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		55,000		53,650
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*		10,000		10,250
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		109,000		108,454
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		10,000		10,110
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		175,000		168,000
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		9,000		9,029
				527,496
Television — 0.1%
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026		15,000		15,668
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		70,000		73,080
				88,748
Tobacco — 0.0%
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		38,000		39,739

56

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Transport-Rail — 0.1%
Kansas City Southern Company Guar. Notes 3.00% due 05/15/2023*	$	100,000	$	97,082
Union Pacific Corp. Senior Notes 2.75% due 03/01/2026		10,000		10,169
				107,251
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.25% due 04/01/2026		15,000		15,393
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		20,000		20,554
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		35,000		35,067
				71,014
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*		5,000		4,971
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		95,000		101,439
				106,410
X-Ray Equipment — 0.0%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*		10,000		10,425
Total U.S. Corporate Bonds & Notes (cost $11,545,990)				11,827,502
FOREIGN CORPORATE BONDS & NOTES — 2.2%
Banks-Commercial — 0.9%
Bank of Nova Scotia/The Sub. Notes 4.50% due 12/16/2025		115,000		114,808
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		200,000		210,846
BPCE SA Sub. Notes 5.15% due 07/21/2024*		200,000		204,285
Credit Suisse AG Sub. Notes 5.40% due 01/14/2020		112,000		121,390
Santander Issuances SAU Company Guar. Notes 5.18% due 11/19/2025		200,000		193,270
				844,599

Security Description	Principal Amount(14)		Value (Note 2)
Building Products-Wood — 0.0%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*	$	30,000	$	29,550
Diversified Banking Institutions — 0.2%
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		100,000		120,979
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		30,000		31,823
				152,802
Electric-Generation — 0.1%
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		60,000		61,860
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		5,000		5,215
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		3,000		3,259
				8,474
Insurance-Life/Health — 0.0%
Manulife Financial Corp. Senior Notes 4.15% due 03/04/2026		40,000		40,865
Medical-Generic Drugs — 0.4%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		155,000		156,831
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		140,000		143,949
Mylan NV Company Guar. Notes 3.00% due 12/15/2018*		25,000		25,343
Mylan NV Company Guar. Notes 3.75% due 12/15/2020*		25,000		25,579
				351,702
Metal-Diversified — 0.0%
Rio Tinto Finance USA, Ltd. Company Guar. Notes 3.75% due 06/15/2025		5,000		4,873
Oil Companies-Exploration & Production — 0.1%
Encana Corp. Senior Notes 6.50% due 05/15/2019		70,000		69,846
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		30,000		18,225
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		3,540
				91,611

57

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated — 0.4%
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020	$	25,000	$	25,383
Cenovus Energy, Inc. Senior Notes 3.00% due 08/15/2022		10,000		8,891
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		45,000		36,744
Cenovus Energy, Inc. Senior Notes 5.70% due 10/15/2019		90,000		90,317
Ecopetrol SA Senior Notes 5.88% due 05/28/2045		35,000		27,552
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041		60,000		43,140
Petroleos Mexicanos Company Guar. Notes 5.50% due 02/04/2019*		25,000		26,187
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		65,000		54,008
Petroleos Mexicanos Company Guar. Notes 6.38% due 02/04/2021*		20,000		21,330
Statoil ASA Company Guar. Notes 3.70% due 03/01/2024		5,000		5,223
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		50,000		47,654
				386,429
Paper & Related Products — 0.0%
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*		25,000		23,594
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		20,000		20,150
Tobacco — 0.1%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		55,000		56,561
Transport-Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		25,000		32,644
Wireless Equipment — 0.0%
Nokia Oyj Senior Notes 6.63% due 05/15/2039		25,000		26,000
Total Foreign Corporate Bonds & Notes (cost $2,163,690)				2,131,714

Security Description	Principal Amount(14)		Value (Note 2)
MUNICIPAL BONDS & NOTES — 0.6%
Chicago Transit Authority Revenue Bonds Series A 6.90% due 12/01/2040	$	5,000	$	6,015
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		70,000		83,325
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		14,000		16,057
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(3)		175,000		53,156
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039(3)		85,000		25,819
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058(3)		25,000		7,594
State of California General Obligation Bonds 7.35% due 11/01/2039		10,000		14,720
State of California General Obligation Bonds 7.55% due 04/01/2039		60,000		91,862
State of California General Obligation Bonds 7.63% due 03/01/2040		75,000		114,778
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		15,000		14,027
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		55,000		57,961
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		75,000		83,357
Total Municipal Bonds & Notes (cost $589,296)				568,671
U.S. GOVERNMENT AGENCIES — 16.2%
Federal Home Loan Mtg. Corp. — 3.4%
2.12% due 02/01/2037 FRS		3,729		3,870
2.50% due 01/01/2028		7,076		7,300
2.50% due 04/01/2028		24,651		25,401
3.00% due 08/01/2027		11,056		11,581

58

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
3.00% due 10/01/2042	$	18,976	$	19,568
3.00% due 11/01/2042		14,677		15,053
3.00% due 02/01/2043		39,976		40,998
3.00% due 08/01/2043		178,152		182,968
3.00% due 07/01/2045		294,248		301,526
3.50% due 03/01/2042		9,239		9,682
3.50% due 08/01/2042		53,310		55,867
3.50% due 09/01/2043		41,339		43,536
3.50% due April TBA		700,000		732,404
4.00% due 03/01/2023		8,284		8,613
4.00% due 10/01/2043		47,540		50,787
4.00% due April TBA		500,000		533,633
4.50% due 01/01/2039		1,708		1,855
5.00% due 05/01/2020		81,919		84,646
5.00% due 05/01/2034		27,321		30,322
5.50% due 07/01/2034		6,292		7,056
5.50% due 05/01/2037		3,714		4,161
6.00% due 08/01/2026		23,865		27,011
6.50% due 05/01/2029		1,624		1,849
6.50% due 05/01/2036		184		209
7.50% due 08/01/2023		76		81
7.50% due 08/01/2025		1,358		1,363
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust Series 2013-K502, Class B 2.64% due 03/25/ 2045 VRS*(7)		100,000		100,174
Series 2014-K503, Class B 3.01% due 10/25/ 2047 VRS*(7)		70,000		69,742
Series 2012-K706, Class B 4.03% due 11/25/ 2044 VRS*(7)		60,000		61,605
Series 2010-K8, Class B 5.25% due 09/25/ 2043 VRS*(7)		80,000		87,027
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3)(5)		5,833		5,921
Series 1577, Class PK 6.50% due 09/15/2023(5)		4,895		5,353
Series 1226, Class Z 7.75% due 03/15/2022(5)		500		533
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Series 2014-DN4, Class M2 2.83% due 10/25/2024(5)		218,469		220,441
Series 2015-DNA2, Class M2 3.03% due 12/25/2027(5)		250,000		250,078
Series DNA3, Class M2 3.28% due 04/25/2028(5)		280,000		281,887
				3,284,101

Security Description	Principal Amount(14)		Value (Note 2)
Federal National Mtg. Assoc. — 10.4%
2.35% due 05/01/2037 FRS	$	6,119	$	6,399
2.50% due 02/01/2043		85,187		84,912
2.50% due 03/01/2043		170,732		170,181
2.50% due April TBA		100,000		102,656
2.58% due 10/01/2040 FRS		5,909		6,261
2.64% due 03/01/2027		29,460		29,805
2.78% due 03/01/2027		63,000		64,347
2.97% due 06/01/2027		110,000		114,091
2.97% due 06/01/2030		124,000		124,087
3.00% due 12/01/2027		13,077		13,688
3.00% due 01/01/2028		19,342		20,253
3.00% due April TBA		2,700,000		2,780,860
3.50% due 08/01/2026		25,056		26,499
3.50% due 09/01/2026		14,748		15,627
3.50% due 10/01/2028		85,615		90,610
3.50% due April TBA		3,200,000		3,355,125
4.00% due 11/01/2040		20,654		22,129
4.00% due 12/01/2040		53,812		57,666
4.00% due 11/01/2041		7,128		7,636
4.00% due 01/01/2042		18,841		20,184
4.00% due 11/01/2043		32,460		34,680
4.00% due 12/01/2043		16,023		17,399
4.00% due April TBA		600,000		641,062
4.50% due 01/01/2039		4,993		5,430
4.50% due 06/01/2039		58,959		64,725
4.50% due 09/01/2039		12,008		13,098
4.50% due 05/01/2041		12,355		13,440
4.50% due April TBA		600,000		652,875
5.00% due 03/01/2018		1,710		1,771
5.00% due 06/01/2019		1,118		1,159
5.00% due 03/01/2020		4,489		4,751
5.00% due 05/01/2035		3,617		4,010
5.00% due 07/01/2040		70,623		78,278
5.00% due April TBA		700,000		774,375
5.50% due 05/01/2020		22,605		23,629
5.50% due 06/01/2020		18,147		18,865
5.50% due 12/01/2029		3,323		3,724
5.50% due 06/01/2035		221,247		250,756
5.50% due 06/01/2036		93,682		106,014
5.50% due 08/01/2037		17,267		19,437
5.50% due 06/01/2038		15,608		17,690
6.00% due 06/01/2017		911		929
6.00% due 06/01/2021		53,393		56,446
6.00% due 12/01/2033		11,717		13,573
6.00% due 05/01/2034		9,828		11,312
6.00% due 08/01/2034		2,083		2,394
6.00% due 11/01/2038		3,017		3,444
7.00% due 06/01/2037		25,185		31,047
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5)		10,339		10,361
				9,989,690
Government National Mtg. Assoc. — 2.4%
3.00% due April TBA		800,000		828,703
3.50% due April TBA		400,000		422,750
4.00% due 07/15/2041		48,019		51,476

59

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
4.00% due 08/15/2041	$	14,887	$	15,942
4.00% due 10/15/2041		35,781		38,359
4.00% due April TBA		600,000		641,531
4.50% due 06/15/2041		246,883		268,937
6.00% due 11/15/2028		27,465		30,994
7.00% due 07/15/2033		12,335		14,773
8.50% due 11/15/2017		104		107
9.00% due 11/15/2021		173		195
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(5)		1,064		1,245
Series 2005-74, Class HC 7.50% due 09/16/2035(5)		7,029		8,162
				2,323,174
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		10,000		10,192
Total U.S. Government Agencies (cost $15,426,681)				15,607,157
U.S. GOVERNMENT TREASURIES — 3.2%
United States Treasury Bonds — 0.2%
2.50% due 02/15/2045		5,000		4,875
3.00% due 05/15/2045(16)		58,000		62,552
4.38% due 11/15/2039(10)		99,200		133,490
				200,917
United States Treasury Notes — 3.0%
0.13% due 07/15/2024 TIPS(11)		972,777		976,121
0.25% due 01/15/2025 TIPS(11)		1,315,276		1,326,356
0.38% due 07/15/2025 TIPS(11)		499,495		510,402
				2,812,879
Total U.S. Government Treasuries (cost $2,901,354)				3,013,796
FOREIGN GOVERNMENT OBLIGATIONS — 1.4%
Sovereign — 1.4%
Brazil Letras do Tesouro Nacional Bills zero coupon due 04/01/2016	BRL	292,000		81,166
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2016(11)	BRL	769,548		214,137
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2022(11)	BRL	270,767		73,599
Government of Japan Senior Bonds 0.10% due 08/15/2016	JPY	50,000,000		444,578
Government of Romania Bonds 5.80% due 07/26/2027	RON	280,000		84,522

Security Description	Shares/ Principal Amount(14)			Value (Note 2)
Sovereign (continued)
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(11)	UYU	1,829,787		$	46,454
Oriental Republic of Uruguay Notes 4.25% due 04/05/2027(11)	UYU	2,502,507			72,946
Oriental Republic of Uruguay Senior Notes 4.38% due 12/15/2028(11)	UYU	644,856			18,999
Republic of Argentina Senior Notes 2.26% due 12/31/2038	EUR	60,000			39,872
Republic of Colombia Bonds 3.00% due 03/25/2033(11)	COP	137,391,755			39,013
Republic of Turkey Bonds 2.50% due 05/04/2016(11)	TRY	595,688			209,605
Republic of Venezuela Senior Bonds 6.00% due 12/09/2020(3)		15,000			5,025
Total Foreign Government Obligations (cost $1,343,599)					1,329,916
OPTIONS — PURCHASED†(3)(12) — 0.0%
Put Options — Purchased (cost $3,175)		492,000			1,955
Total Long-Term Investment Securities (cost $99,972,010)					106,006,245
SHORT-TERM INVESTMENT SECURITIES — 1.5%
Commercial Paper — 0.9%
BNP Paribas SA NY 0.24% due 04/01/2016	$	900,000			900,000
Time Deposits — 0.6%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 04/01/2016		555,000			555,000
Total Short-Term Investment Securities (cost $1,455,000)					1,455,000
REPURCHASE AGREEMENTS — 0.4%
Bank of America Securities LLC Joint Repurchase Agreement(13)		115,000			115,000
Barclays Capital, Inc. Joint Repurchase Agreement(13)		45,000			45,000
BNP Paribas SA Joint Repurchase Agreement(13)		90,000			90,000
Deutsche Bank AG Joint Repurchase Agreement(13)		90,000			90,000
RBS Securities, Inc. Joint Repurchase Agreement(13)		60,000			60,000
Total Repurchase Agreements (cost $400,000)					400,000
TOTAL INVESTMENTS (cost $101,827,010)(15)		112.1	%		107,861,245
Liabilities in excess of other assets		(12.1	)		(11,628,184	)
NET ASSETS		100.0	%	$	96,233,061

60

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2016, the aggregate value of these securities was $10,016,925 representing 10.4% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In

addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2016, the Multi-Managed Moderate Growth Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	03/05/2014		4	$	0	$	3,906	$	976.54		0.00	%

(3)  Illiquid security. At March 31, 2016, the aggregate value of these securities was $840,642 representing 0.9% of net assets.

(4)  Perpetual maturity — maturity date reflects the next call date.

(5)  Collateralized Mortgage Obligation

(6)  Collateralized Loan Obligation

(7)  Commercial Mortgage Backed Security

(8)  Interest Only

(9)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. Rate shown reflects the increased rate.

(10)    The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(11)  Principal amount of security is adjusted for inflation.

(12)  Options Purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at March 31, 2016		Unrealized Appreciation (Depreciation)
Put option to sell Chinese Yuan in exchange for U.S. Dollars with Goldman Sachs International	April 2016	$	6.46		328,000	$	2,085	$	1,011	$	(1,074	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars with Goldman Sachs International	May 2016		6.47		164,000		1,091		944		(147	)
						$	3,176	$	1,955	$	(1,221	)

(13)  See Note 2 for details of Joint Repurchase Agreements.

(14)  Denominated in United States dollars unless otherwise indicated.

(15)  See Note 4 for cost of investments on a tax basis.

(16)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

BRL — Brazilian Real

COP — Colombian Peso

CLO — Collateralized Loan Obligation

CVR — Contingent Value Rights

EUR — Euro Dollar

GBP — Pound Sterling

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TIPS — Treasury Inflation Protected Securities

TRY — Turkish Lira

UYU — Uruguayan Peso

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at March 31, 2016 and unless noted otherwise, the dates shown are the original maturity dates.

61

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	5	Long	Russell 2000 Mini Index	June 2016	$	540,290	$	554,800	$	14,510
	2	Short	U.S. Treasury 2 Year Notes	June 2016		437,375		437,500		(125	)
	63	Long	U.S. Treasury 5 Year Notes	June 2016		7,641,464		7,633,336		(8,128	)
	79	Short	U.S. Treasury 10 Year Notes	June 2016		10,309,341		10,300,859		8,482
	4	Short	U.S. Treasury 10 Year Ultra Bonds	June 2016		560,880		563,000		(2,120	)
	5	Short	U.S. Treasury Long Bonds	June 2016		829,188		822,188		7,000
	13	Long	U.S. Treasury Ultra Bonds	June 2016		2,259,683		2,242,906		(16,777	)
									$	2,842

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	120,000	USD	129,009	03/15/2017	$	—	$	(9,259	)
	TRY	250,000	USD	84,818	06/15/2016		—		(2,120	)
	USD	34,992	THB	1,238,000	06/15/2016		141		—
	USD	84,885	TRY	250,000	06/15/2016		2,053		—
	USD	96,131	EUR	85,000	03/15/2017		1,809		—
							4,003		(11,379	)
Barclays Bank PLC	IDR	1,665,000,000	USD	124,635	04/01/2016		—		(931	)
	IDR	379,000,000	USD	26,256	05/18/2016		—		(2,435	)
	USD	125,047	IDR	1,665,000,000	04/01/2016		519		—
							519		(3,366	)
BNP Paribas SA	USD	42,694	ZAR	638,000	04/18/2016		401		—
	USD	20,312	ZAR	307,000	06/15/2016		190		—
							591		—
Calyon Bank	PEN	22,000	USD	6,316	06/15/2016		—		(259	)
Citibank N.A.	EUR	281,000	USD	314,988	04/29/2016		—		(5,002	)
	USD	32,316	UYU	1,025,000	04/04/2016		18		—
	UYU	1,025,000	USD	31,538	04/04/2016		—		(796	)
							18		(5,798	)
Commonwealth Bank of Australia Sydney	USD	40,047	EUR	35,000	03/15/2017		281		—
Credit Suisse International	TRY	599,815	USD	206,815	05/04/2016		—		(4,079	)
Deutsche Bank AG	CNY	240,000	USD	36,419	07/28/2016		—		(469	)
	IDR	406,750,000	USD	29,799	09/21/2016		—		(257	)
							—		(726	)
Goldman Sachs International	BRL	230,000	USD	64,627	04/04/2016		661		—
	BRL	265,000	USD	70,084	07/05/2016		—		(1,777	)
	CNY	65,000	USD	9,886	07/28/2016		—		(104	)
	IDR	1,665,000,000	USD	127,099	04/01/2016		1,534		—
	USD	124,635	IDR	1,665,000,000	04/01/2016		931		—
	USD	62,305	BRL	230,000	04/04/2016		1,661		—
	USD	48,220	IDR	745,000,000	05/18/2016		8,176		—
	USD	120,118	IDR	1,627,000,000	09/21/2016		103		—
	ZAR	307,000	USD	18,639	06/15/2016		—		(1,862	)
							13,066		(3,743	)
HSBC Bank USA, N.A.	IDR	813,500,000	USD	59,926	09/21/2016		—		(184	)
	USD	127,735	UYU	4,100,000	04/04/2016		1,603		—
	UYU	4,100,000	USD	127,100	04/04/2016		—		(2,237	)
	UYU	4,100,000	USD	122,505	06/30/2016		—		(2,648	)
							1,603		(5,069	)

62

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
JPMorgan Chase Bank	GBP	100,000	USD	141,465	04/29/2016	$	—	$	(2,171	)
	IDR	366,000,000	USD	25,285	05/18/2016		—		(2,421	)
	PEN	54,000	USD	15,533	06/15/2016		—		(607	)
	RON	343,000	USD	85,598	06/15/2016		—		(1,812	)
	USD	32,316	UYU	1,025,000	04/04/2016		18		—
	USD	5,606	EUR	5,000	04/29/2016		87		—
	USD	7,142	GBP	5,000	04/29/2016		40		—
	USD	48,652	CNY	305,000	07/28/2016		—		(1,774	)
	UYU	1,025,000	USD	31,529	04/04/2016		—		(806	)
							145		(9,591	)
Morgan Stanley and Co., Inc.	BRL	485,000	USD	122,374	04/04/2016		—		(12,511	)
	BRL	290,000	USD	73,853	04/06/2016		—		(6,752	)
	BRL	765,000	USD	202,821	08/17/2016		—		(1,988	)
	JPY	50,049,000	USD	445,943	08/15/2016		—		(666	)
	USD	134,147	BRL	485,000	04/04/2016		738		—
	USD	57,070	THB	2,020,000	06/15/2016		254		—
							992		(21,917	)
Royal Bank of Canada	USD	25,212	MXN	441,000	06/15/2016		149		—
Standard Chartered Bank	IDR	406,750,000	USD	29,842	09/21/2016		—		(213	)
	MXN	531,000	USD	29,368	06/15/2016		—		(1,170	)
	THB	3,258,000	USD	91,209	06/15/2016		—		(1,246	)
							—		(2,629	)
State Street Bank and Trust Co.	PEN	3,000	USD	870	06/15/2016		—		(27	)
	USD	5,138	MXN	90,000	06/15/2016		38		—
	USD	23,283	PEN	79,000	06/15/2016		329		—
	ZAR	638,000	USD	39,781	04/18/2016		—		(3,315	)
							367		(3,342	)
Net Unrealized Appreciation(Depreciation)						$	21,734	$	(71,898	)

BRL — Brazilian Real
CNY — Chinese Yuan
EUR — Euro Dollar
GBP — Pound Sterling
IDR — Indonesian Rupiah
JPY — Japanese Yen
MXN — Mexican Peso
PEN — Peruvian Nuevo Sol
RON — Romanian Lue
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio	Payments Made by the Portfolio			Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	435	06/15/2026	3 month LIBOR		1.78	%	$	—	$	(3,909	)
USD	439	06/15/2026	3 month LIBOR		1.79			—		(4,152	)
									$	(8,061	)

Over the Counter Cross-Currency Interest Rate Swap Contracts

Swap Counterparty	Receive	Pay	Termination Date	Notional Amount of Currency Received (000's)	Notional Amount of Currency Delivered (000's)	Unrealized Appreciation (Depreciation)
Goldman Sachs International	3.30% based on the notional amount of currency received	3 Month LIBOR based on the notional amount of currency delivered	09/21/2021	CNY 585	$90	$4,594

CNY — Chinese Yuan

LIBOR — London Interbank Offered Rate

USD — United States Dollar

63

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

The following is a summary of the inputs used to value the Fund's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Medical-Biomedical/Gene	$	2,961,076	$	—	$	0	$	2,961,076
Television		116,081		—		3,906		119,987
Other Industries		52,620,287		—		—		52,620,287
Preferred Securities/Capital Securities		—		1,177,356		—		1,177,356
Asset Backed Securities		—		14,646,828		—		14,646,828
U.S. Corporate Bonds & Notes		—		11,827,502		—		11,827,502
Foreign Corporate Bonds & Notes:		—		2,131,714		—		2,131,714
Municipal Bonds & Notes		—		568,671		—		568,671
U.S. Government Agencies		—		15,607,157		—		15,607,157
U.S. Government Treasuries		—		3,013,796		—		3,013,796
Foreign Government Obligations		—		1,329,916		—		1,329,916
Options - Purchased		—		1,955		—		1,955
Short-Term Investment Securities		—		1,455,000		—		1,455,000
Repurchase Agreements		—		400,000		—		400,000
Total Investments at Value*	$	55,697,444	$	52,159,895	$	3,906	$	107,861,245
Other Financial Instruments:†
Futures Contracts	$	29,992	$	—	$	—	$	29,992
Forward Foreign Currency Contracts		—		21,734		—		21,734
Over the Counter Cross-Currency Interest Rate Swap Contracts		—		4,594		—		4,594
Total Other Financial Instruments	$	29,992	$	26,328	$	—	$	56,320
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	27,150	$	—	$	—	$	27,150
Forward Foreign Currency Contracts		—		71,898		—		71,898
Centrally Cleared Interest Rate Swap Contracts		—		8,061		—		8,061
Total Other Financial Instruments	$	27,150	$	79,959	$	—	$	107,109

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and Other written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

64

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Diversified Financial Services	25.2	%
Federal National Mtg. Assoc.	16.5
Federal Home Loan Mtg. Corp.	6.1
Diversified Banking Institutions	5.6
United States Treasury Notes	4.7
Government National Mtg. Assoc.	4.1
Banks-Commercial	2.6
Cable/Satellite TV	2.4
Sovereign	2.2
Medical-Biomedical/Gene	2.2
Medical-Drugs	2.0
Web Portals/ISP	1.8
Computers	1.5
Real Estate Investment Trusts	1.4
Finance-Credit Card	1.2
Oil Companies-Integrated	1.1
Brewery	1.1
Multimedia	1.1
Municipal Bonds & Notes	1.0
Internet Content-Entertainment	1.0
Applications Software	0.9
Telephone-Integrated	0.9
Oil Companies-Exploration & Production	0.9
Retail-Restaurants	0.8
Auto-Cars/Light Trucks	0.8
Repurchase Agreements	0.8
E-Commerce/Products	0.8
Pipelines	0.8
Electronic Connectors	0.7
Instruments-Controls	0.7
Cosmetics & Toiletries	0.7
Retail-Building Products	0.7
Banks-Super Regional	0.7
Retail-Discount	0.6
Medical-HMO	0.6
Commercial Services	0.6
Aerospace/Defense	0.6
Medical-Generic Drugs	0.6
Beverages-Non-alcoholic	0.6
Medical-Hospitals	0.6
Tobacco	0.6
Computer Services	0.5
Pharmacy Services	0.5
Electronic Components-Semiconductors	0.5
Cellular Telecom	0.5
Industrial Gases	0.4
Commercial Paper	0.4
Airlines	0.4
Food-Retail	0.4
Food-Confectionery	0.4
E-Commerce/Services	0.4
Finance-Consumer Loans	0.4
Electronic Forms	0.4
Enterprise Software/Service	0.4
Medical Instruments	0.4
Athletic Footwear	0.4
Chemicals-Diversified	0.4
Diversified Manufacturing Operations	0.4
Containers-Metal/Glass	0.3
Retail-Drug Store	0.3

Apparel Manufacturers	0.3	%
Electric-Integrated	0.3
Building Products-Cement	0.3
United States Treasury Bonds	0.3
Auto/Truck Parts & Equipment-Original	0.3
Recreational Vehicles	0.3
Food-Wholesale/Distribution	0.3
Building-Heavy Construction	0.3
Finance-Other Services	0.3
Transport-Rail	0.3
Medical Information Systems	0.2
Cruise Lines	0.2
Machinery-General Industrial	0.2
Building-Residential/Commercial	0.2
Retail-Gardening Products	0.2
Finance-Investment Banker/Broker	0.2
Electronic Design Automation	0.2
Medical Products	0.2
Consulting Services	0.2
Aerospace/Defense-Equipment	0.2
Trucking/Leasing	0.2
Telecommunication Equipment	0.2
Networking Products	0.2
Wireless Equipment	0.2
Building Societies	0.2
Distribution/Wholesale	0.2
Metal Processors & Fabrication	0.2
Retail-Auto Parts	0.2
Real Estate Management/Services	0.2
Hotels/Motels	0.2
Computer Software	0.2
Computer Aided Design	0.2
Beverages-Wine/Spirits	0.2
Toys	0.2
Agricultural Chemicals	0.2
Insurance-Property/Casualty	0.1
Electronic Measurement Instruments	0.1
Real Estate Operations & Development	0.1
Commercial Services-Finance	0.1
Television	0.1
Insurance-Mutual	0.1
Investment Management/Advisor Services	0.1
Transport-Services	0.1
Entertainment Software	0.1
Electric-Generation	0.1
Oil-Field Services	0.1
Financial Guarantee Insurance	0.1
Building & Construction Products-Misc.	0.1
Rental Auto/Equipment	0.1
Broadcast Services/Program	0.1
Insurance Brokers	0.1
Paper & Related Products	0.1
Building Products-Wood	0.1
Insurance-Life/Health	0.1
Food-Misc./Diversified	0.1
Steel-Producers	0.1
Hazardous Waste Disposal	0.1
Oil Refining & Marketing	0.1
Banks-Fiduciary	0.1
Internet Content-Information/News	0.1

65

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Funeral Services & Related Items	0.1	%
Advertising Agencies	0.1
Casino Hotels	0.1
Insurance-Multi-line	0.1
Diagnostic Equipment	0.1
Data Processing/Management	0.1
Security Services	0.1
Batteries/Battery Systems	0.1
	118.9	%
Credit Quality†#
Aaa	51.7	%
Aa	3.0
A	7.9
Baa	15.1
Ba	6.9
B	1.2
Caa	1.5
Ca	0.9
Not Rated@	11.8
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

#  Calculated as a percentage of total debt issues, excluding short-term securities.

@  Represents debt issues that either have no rating, or the rating is unavailable from the data source.

66

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 31.9%
Aerospace/Defense — 0.5%
Northrop Grumman Corp.		1,194	$	236,292
Teledyne Technologies, Inc.†		1,533		135,119
				371,411
Aerospace/Defense-Equipment — 0.2%
United Technologies Corp.		1,437		143,844
Airlines — 0.4%
United Continental Holdings, Inc.†		4,939		295,649
Apparel Manufacturers — 0.2%
Carter's, Inc.		1,681		177,144
Applications Software — 0.7%
NetSuite, Inc.†		2,562		175,471
Salesforce.com, Inc.†		2,312		170,695
ServiceNow, Inc.†		2,997		183,357
				529,523
Athletic Footwear — 0.4%
NIKE, Inc., Class B		4,244		260,879
Auto/Truck Parts & Equipment-Original — 0.3%
Delphi Automotive PLC		2,655		199,178
Banks-Commercial — 0.1%
PacWest Bancorp		1,807		67,130
Beverages-Non-alcoholic — 0.6%
Coca-Cola Co.		9,050		419,830
Beverages-Wine/Spirits — 0.2%
Brown-Forman Corp., Class B		1,145		112,748
Building Products-Cement — 0.3%
Vulcan Materials Co.		2,101		221,803
Cable/Satellite TV — 0.8%
Comcast Corp., Class A		7,699		470,255
Time Warner Cable, Inc.		590		120,726
				590,981
Cellular Telecom — 0.3%
T-Mobile US, Inc.†		5,301		203,028
Chemicals-Diversified — 0.4%
PPG Industries, Inc.		2,255		251,410
Commercial Services — 0.6%
Aramark		3,437		113,833
CoStar Group, Inc.†		566		106,504
Nielsen Holdings PLC		2,028		106,795
ServiceMaster Global Holdings, Inc.†		3,092		116,507
				443,639
Commercial Services-Finance — 0.1%
McGraw Hill Financial, Inc.		750		74,235
Computer Aided Design — 0.2%
ANSYS, Inc.†		1,274		113,972
Computer Services — 0.4%
Amdocs, Ltd.		2,625		158,603
Cognizant Technology Solutions Corp., Class A†		2,223		139,382
				297,985

Security Description	Shares		Value (Note 2)
Computer Software — 0.2%
SS&C Technologies Holdings, Inc.		1,859	$	117,898
Computers — 1.4%
Apple, Inc.		9,044		985,706
Consulting Services — 0.2%
Verisk Analytics, Inc.†		1,841		147,133
Containers-Metal/Glass — 0.3%
Crown Holdings, Inc.†		4,386		217,502
Cosmetics & Toiletries — 0.7%
Colgate-Palmolive Co.		3,010		212,656
Estee Lauder Cos., Inc., Class A		2,916		275,008
				487,664
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		3,160		174,716
Distribution/Wholesale — 0.2%
Fastenal Co.		2,689		131,761
Diversified Manufacturing Operations — 0.4%
A.O. Smith Corp.		1,602		122,248
Dover Corp.		1,972		126,859
				249,107
E-Commerce/Products — 0.8%
Amazon.com, Inc.†		903		536,057
E-Commerce/Services — 0.4%
Priceline Group, Inc.†		215		277,126
Electronic Components-Semiconductors — 0.5%
Broadcom, Ltd.		1,413		218,308
Texas Instruments, Inc.		2,747		157,733
				376,041
Electronic Connectors — 0.7%
Amphenol Corp., Class A		6,004		347,151
TE Connectivity, Ltd.		2,923		180,992
				528,143
Electronic Design Automation — 0.2%
Cadence Design Systems, Inc.†		6,908		162,891
Electronic Forms — 0.4%
Adobe Systems, Inc.†		2,883		270,425
Electronic Measurement Instruments — 0.1%
National Instruments Corp.		3,483		104,873
Enterprise Software/Service — 0.4%
Tyler Technologies, Inc.†		877		112,791
Ultimate Software Group, Inc.†		813		157,315
				270,106
Finance-Consumer Loans — 0.2%
Synchrony Financial†		4,405		126,247
Finance-Credit Card — 1.0%
MasterCard, Inc., Class A		3,547		335,191
Visa, Inc., Class A		5,166		395,096
				730,287
Finance-Investment Banker/Broker — 0.1%
E*TRADE Financial Corp.†		4,369		106,997

67

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Other Services — 0.2%
Intercontinental Exchange, Inc.		533	$	125,330
Financial Guarantee Insurance — 0.1%
MGIC Investment Corp.†		8,420		64,581
Food-Confectionery — 0.4%
Hershey Co.		3,025		278,572
Food-Retail — 0.4%
Kroger Co.		7,454		285,116
Food-Wholesale/Distribution — 0.2%
Sysco Corp.		3,240		151,405
Hotels/Motels — 0.2%
Hilton Worldwide Holdings, Inc.		5,418		122,013
Industrial Gases — 0.4%
Air Products & Chemicals, Inc.		2,108		303,657
Instruments-Controls — 0.7%
Honeywell International, Inc.		2,645		296,372
Sensata Technologies Holding NV†		5,094		197,851
				494,223
Internet Content-Entertainment — 1.0%
Facebook, Inc., Class A†		6,028		687,795
Internet Content-Information/News — 0.1%
LinkedIn Corp., Class A†		370		42,310
Investment Management/Advisor Services — 0.1%
BlackRock, Inc.		253		86,164
Machinery-General Industrial — 0.2%
Roper Technologies, Inc.		937		171,256
Medical Information Systems — 0.2%
athenahealth, Inc.†		1,264		175,418
Medical Instruments — 0.3%
Boston Scientific Corp.†		10,167		191,241
Medical-Biomedical/Gene — 2.1%
Alder Biopharmaceuticals, Inc.†		3,991		97,740
Amgen, Inc.		3,683		552,192
Biogen, Inc.†		1,187		309,000
Celgene Corp.†		3,857		386,047
Regeneron Pharmaceuticals, Inc.†		483		174,092
				1,519,071
Medical-Drugs — 1.9%
AbbVie, Inc.		5,864		334,952
Allergan PLC†		1,239		332,089
Bristol-Myers Squibb Co.		6,356		406,021
Ironwood Pharmaceuticals, Inc.†		9,468		103,580
Mallinckrodt PLC†		3,247		198,976
				1,375,618
Medical-Hospitals — 0.3%
Universal Health Services, Inc., Class B		1,566		195,312

Security Description	Shares		Value (Note 2)
Metal Processors & Fabrication — 0.2%
Rexnord Corp.†		6,426	$	129,934
Multimedia — 0.5%
Walt Disney Co.		3,477		345,301
Oil Companies-Exploration & Production — 0.1%
Anadarko Petroleum Corp.		816		38,001
Oil Refining & Marketing — 0.1%
Phillips 66		451		39,052
Oil-Field Services — 0.1%
Baker Hughes, Inc.		1,059		46,416
Pharmacy Services — 0.5%
Diplomat Pharmacy, Inc.†		4,545		124,533
Express Scripts Holding Co.†		3,767		258,755
				383,288
Real Estate Investment Trusts — 0.7%
American Tower Corp.		3,716		380,407
Simon Property Group, Inc.		619		128,560
				508,967
Real Estate Management/Services — 0.2%
Jones Lang LaSalle, Inc.		1,075		126,119
Recreational Vehicles — 0.3%
Polaris Industries, Inc.		2,003		197,255
Retail-Auto Parts — 0.2%
AutoZone, Inc.†		159		126,674
Retail-Building Products — 0.7%
Lowe's Cos., Inc.		6,420		486,315
Retail-Discount — 0.6%
Costco Wholesale Corp.		1,103		173,811
Dollar Tree, Inc.†		3,392		279,704
				453,515
Retail-Gardening Products — 0.2%
Tractor Supply Co.		1,808		163,552
Retail-Restaurants — 0.8%
Chipotle Mexican Grill, Inc.†		268		126,220
Dunkin' Brands Group, Inc.		3,191		150,519
Starbucks Corp.		5,371		320,649
				597,388
Telecommunication Equipment — 0.2%
CommScope Holding Co., Inc.†		4,211		117,571
Television — 0.0%
ION Media Networks, Inc.†(1)(3)(10)		10		9,765
Tobacco — 0.4%
Altria Group, Inc.		4,335		271,631
Toys — 0.2%
Mattel, Inc.		3,310		111,282
Web Portals/ISP — 1.8%
Alphabet, Inc., Class C†		1,685		1,255,241
Wireless Equipment — 0.2%
Motorola Solutions, Inc.		1,450		109,765
Total Common Stocks (cost $20,553,364)				22,561,183

68

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.7%
Banks-Commercial — 0.4%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/09/2019(2)(3)	EUR	200,000	$	210,170
Banco Santander SA FRS 6.25% due 03/12/2019(2)	EUR	100,000		101,965
				312,135
Building Societies — 0.2%
Nationwide Building Society FRS 6.88% due 06/20/2019(2)	GBP	100,000		134,289
Diversified Banking Institutions — 0.9%
Credit Suisse Group AG FRS 6.25% due 12/18/2024(2)		200,000		183,660
Societe Generale SA FRS 8.25% due 11/29/2018(2)		200,000		201,500
UBS Group AG FRS 5.75% due 02/19/2022(2)	EUR	200,000		229,002
				614,162
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(3)		16,000		2
Insurance-Multi-line — 0.1%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		35,000		37,362
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030		80,000		112,240
Total Preferred Securities/ Capital Securities (cost $1,342,121)				1,210,190
ASSET BACKED SECURITIES — 25.2%
Diversified Financial Services — 25.2%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.60% due 01/25/2037(4)		88,829		85,910
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		15,000		15,099
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 2.07% due 07/27/2026*(5)		250,000		247,813
Apidos CLO XVII FRS Series 2014-17A, Class A1A 2.12% due 04/17/2026*(5)		250,000		248,697
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.47% due 04/20/2023*(5)		188,222		187,430
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.01% due 10/25/2034(3)		24,627		22,842

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Atrium XI FRS Series 11-A, Class B 2.77% due 10/23/2025*(5)	$	250,000	$	247,315
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.74% due 02/10/2051(6)		101,375		105,069
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(6)		210,000		214,258
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.66% due 02/25/2036(4)		177,365		157,722
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(6)		76,813		79,728
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.72% due 06/11/2040(6)		39,201		40,156
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		16,458		15,827
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		3,824		3,824
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1A 1.74% due 07/15/2025*(5)		250,000		245,830
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.09% due 04/27/2027*(5)		250,000		248,113
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class B 3.07% due 10/15/2026*(5)		250,000		252,042
Cent CLO, Ltd. FRS Series 2013-20A, Class A 2.10% due 01/25/2026*(5)		250,000		246,768
Cent CLO, Ltd. FRS Series 2015-23A, Class A1 2.11% due 04/17/2026*(5)		250,000		247,445
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 2.10% due 05/24/2026*(5)		250,000		248,050
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(6)		122,000		130,436
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(6)		70,000		76,444

69

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.14% due 12/10/2049(6)	$	34,030	$	35,613
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.04% due 03/25/2036(4)		104,684		99,432
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(6)		111,565		113,741
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(6)		115,458		120,452
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.10% due 12/10/2049(6)		81,086		84,692
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6)		125,105		129,302
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6)		140,000		147,170
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6)		155,000		164,440
Commercial Mtg. Trust Series 2014-CR20, Class A4 3.59% due 11/10/2047(6)		90,000		95,824
Commercial Mtg. Trust VRS Series 2013-CR8, Class A5 3.61% due 06/10/2046(6)		45,000		48,242
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(6)		156,000		165,760
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(6)		155,000		164,766
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6)		150,000		162,408
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6)		65,000		71,021
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.23% due 07/10/2045(6)		50,110		56,065
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(6)		195,000		217,181
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(6)		105,289		107,449
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.84% due 06/10/2046(6)		10,600		10,588

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(4)	$	4,347	$	4,360
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4)		73,189		67,654
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(4)		3,913		3,663
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(6)		614		613
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(6)		34,246		34,502
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.90% due 06/15/2057(6)(7)		1,259,361		69,808
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(6)		161,000		171,743
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*(3)		48,865		50,007
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*		105,000		105,048
Dryden Senior Loan Fund FRS Series 2014-33A, Class A 2.10% due 07/15/2026*(5)		250,000		248,990
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class A 1.97% due 04/18/2026*(5)		250,000		247,480
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.43% due 05/25/2035(4)		170,760		153,031
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		28,515		28,472
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		25,000		24,993
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		190,000		189,237
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		12,000		12,024
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		45,000		44,816

70

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019	$	23,000	$	22,988
Galaxy XIX CLO, Ltd. FRS Series 2015-19A, Class A1A 2.17% due 01/24/2027*(5)		250,000		248,417
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6)		125,000		127,265
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6)		30,445		36,308
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(6)		100,000		106,448
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(6)		146,000		156,380
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(6)		110,000		118,820
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6)		140,000		152,371
GS Mtg. Securities Trust Series 2014-GC18, Class A4 4.07% due 01/10/2047(6)		65,000		71,057
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.53% due 03/25/2037(3)		266,040		133,347
GSR Mtg. Loan Trust FRS Series 2006-AR2, Class 3A1 2.85% due 04/25/2036(4)		13,865		11,591
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.88% due 03/25/2047(4)		45,135		37,055
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.91% due 01/25/2036(4)		70,149		64,706
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.96% due 04/25/2035(4)		63,833		60,397
GTP Acquisition Partners I LLC Series 2015-2, CLASS A 3.48% due 06/15/2050*		160,000		162,160
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(6)		175,000		175,230
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.97% due 05/25/2035(4)		104,139		94,589
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(6)		118,091		125,476

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Trust Series 2015-JP1, Class A5 3.91% due 01/15/2049(6)	$	121,000	$	130,941
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(6)		105,000		116,206
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(6)		184,527		187,327
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.70% due 02/12/2049(6)		101,938		104,719
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(6)		94,124		98,117
JPMBB Commercial Mtg. Securities Trust Series 2015-C28, Class A4 3.23% due 10/15/2048(6)		127,000		130,591
JPMBB Commercial Mtg. Securities Trust VRS Series 2015-C33, Class A4 3.78% due 12/15/2048(6)		146,000		156,487
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6)		145,000		155,986
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(6)		195,000		216,376
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(6)		52,730		53,840
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(6)		85,687		87,439
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.08% due 04/15/2041(6)		127,850		135,153
LSTAR Securities Investment Trust FRS Series 2015-2, Class A 2.43% due 01/01/2020*(4)		88,982		87,663
LSTAR Securities Investment Trust FRS Series 2015-4, Class A1 2.43% due 04/01/2020*(4)		176,553		171,256
LSTAR Securities Investment Trust FRS Series 2015-9, Class A1 2.44% due 10/01/2020*(4)		172,569		169,166

71

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class A1A 1.90% due 10/23/2025*(5)	$	250,000	$	246,963
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A2, Class A2 2.64% due 02/25/2035(4)		31,794		31,653
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.73% due 12/25/2034(4)		48,886		47,787
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(6)		115,438		117,594
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(6)		52,795		54,738
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.74% due 06/12/2050(6)		94,738		97,833
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.16% due 12/15/2047(6)(7)		357,169		22,143
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(6)		135,000		144,696
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(6)		25,000		27,390
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(6)		105,000		109,306
Morgan Stanley Capital I Trust Series 2006-IQ12, Class A4 5.33% due 12/15/2043(6)		137,912		139,113
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(6)		105,000		107,513
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(6)		63,214		65,872
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.27% due 01/11/2043(6)		50,374		53,417
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4)		54,970		48,792
MortgageIT Trust FRS Series 2005-4, Class A1 0.71% due 10/25/2035(4)		251,109		227,548

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Nomura Asset Acceptance Corp Alternative Loan Trust FRS Series 2006-AF1, Class 3A1 3.56% due 06/25/2036(4)	$	158,145	$	116,931
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)		33,514		33,439
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		450,000		452,378
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.17% due 02/15/2026*(5)		250,000		248,662
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.15% due 04/17/2027*(5)		215,000		213,431
Ocwen Master Advance Receivables Trust Series 2015-1, Class AT1 2.54% due 09/17/2046*		135,000		134,925
OHA Loan Funding 2015-1, Ltd. FRS Series 2015-1A, Class A 2.12% due 02/15/2027*(5)		250,000		248,685
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		170,000		171,076
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.53% due 02/25/2037(3)		44,574		23,093
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 2.17% due 04/17/2026*(5)		250,000		248,937
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.07% due 04/30/2027*(5)		250,000		246,993
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 2.13% due 04/15/2027*(5)		250,000		247,023
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(3)(8)		240,953		119,429
RFMSI Series Trust FRS Series 2005-SA3, Class 1A 2.91% due 08/25/2035(4)		151,666		112,718
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4)		6,411		6,323
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.56% due 05/25/2037(3)		114,257		73,140
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.69% due 02/20/2047(4)		123,314		104,358
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 2.15% due 04/15/2027*(5)		250,000		248,223

72

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.68% due 11/25/2036(3)	$	200,000	$	131,533
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(3)		76,988		76,671
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		95,217		94,960
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 2.12% due 04/20/2027*(5)		250,000		247,793
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(6)		80,000		83,003
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 2.10% due 04/18/2027*(5)		250,000		247,615
Voya CLO, Ltd. FRS Series 2014-4A, Class A2A 3.02% due 10/14/2026*(5)		250,000		250,577
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.16% due 11/25/2046(4)		145,386		128,221
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.19% due 09/15/2057(6)(7)		997,615		70,723
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6)		105,000		113,179
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.10% due 05/15/2048(6)		10,000		7,460
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.74% due 10/25/2036(4)		71,690		66,060
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.76% due 11/25/2034(4)		6,028		6,003
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.85% due 01/25/2035(4)		169,203		168,417
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.87% due 03/25/2035(4)		116,123		116,799
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		140,000		139,912

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.81% due 02/15/2044*(6)(7)	$	570,453	$	18,205
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(6)		85,000		90,795
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6)		145,280		158,419
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(6)		125,000		136,709
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6)		55,111		60,518
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(6)		45,000		49,725
Total Asset Backed Securities (cost $17,786,554)				17,778,696
U.S. CORPORATE BONDS & NOTES — 19.9%
Advertising Agencies — 0.1%
Omnicom Group, Inc. Company Guar. Notes 3.60% due 04/15/2026		40,000		40,974
Aerospace/Defense — 0.1%
BAE Systems Holdings, Inc. Company Guar. Notes 2.85% due 12/15/2020*		15,000		15,238
Lockheed Martin Corp. Senior Notes 2.50% due 11/23/2020		26,000		26,631
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		20,000		22,363
				64,232
Agricultural Chemicals — 0.2%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		50,000		43,517
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		70,000		65,921
				109,438
Apparel Manufacturers — 0.1%
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		50,000		51,375
Applications Software — 0.2%
Microsoft Corp. Senior Notes 2.00% due 11/03/2020		40,000		40,982

73

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Applications Software (continued)
Microsoft Corp. Senior Notes 2.65% due 11/03/2022	$	100,000	$	103,981
				144,963
Auto-Cars/Light Trucks — 0.8%
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		22,000		21,972
Ford Motor Credit Co. LLC Senior Notes 4.13% due 08/04/2025		200,000		208,119
General Motors Co. Senior Notes 6.60% due 04/01/2036		20,000		22,008
General Motors Co. Senior Notes 6.75% due 04/01/2046		10,000		11,368
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018		100,000		99,977
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		75,000		76,906
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		115,000		118,715
General Motors Financial Co., Inc. Company Guar. Notes 5.25% due 03/01/2026		30,000		31,378
				590,443
Banks-Commercial — 0.5%
Capital One NA Senior Notes 1.65% due 02/05/2018		250,000		248,199
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		70,000		72,415
				320,614
Banks-Fiduciary — 0.1%
Bank of New York Mellon Corp. Senior Notes 2.60% due 08/17/2020		45,000		46,083
Banks-Super Regional — 0.7%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		40,000		40,500
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		75,000		77,573
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		95,000		96,486
Wells Fargo & Co. Senior Notes 2.50% due 03/04/2021		20,000		20,253

Security Description	Principal Amount(12)		Value (Note 2)
Banks-Super Regional (continued)
Wells Fargo & Co. Senior Notes 2.60% due 07/22/2020	$	25,000	$	25,582
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		30,000		32,200
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		70,000		79,122
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		95,000		110,089
				481,805
Batteries/Battery Systems — 0.1%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		35,000		33,775
Brewery — 1.1%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		45,000		45,643
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.15% due 02/01/2019		15,000		15,328
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		255,000		265,104
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		80,000		86,456
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		275,000		307,329
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 2.50% due 07/15/2022		25,000		25,209
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		50,000		47,503
				792,572
Broadcast Services/Program — 0.1%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		70,000		71,750
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		70,000		74,025

74

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022	$	29,000	$	31,900
Building-Heavy Construction — 0.3%
SBA Tower Trust Mtg. Notes 2.90% due 10/15/2044*		90,000		90,426
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*		100,000		99,909
				190,335
Building-Residential/Commercial — 0.2%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		70,000		71,575
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		55,000		56,787
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		30,000		30,000
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,325
				163,687
Cable/Satellite TV — 1.6%
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		50,000		51,500
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		95,000		97,075
CCO Safari II LLC Senior Sec. Notes 4.46% due 07/23/2022*		50,000		52,263
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*		70,000		73,837
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		125,000		139,091
Comcast Corp. Company Guar. Notes 2.75% due 03/01/2023		95,000		98,170
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026		85,000		88,499
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		60,000		63,899
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		40,000		45,119
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		40,000		38,574

Security Description	Principal Amount(12)		Value (Note 2)
Cable/Satellite TV (continued)
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*	$	70,000	$	67,524
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		10,000		8,825
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		66,000		68,145
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		45,000		39,947
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		20,000		20,698
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		50,000		55,011
Time Warner Cable, Inc. Company Guar. Notes 8.75% due 02/14/2019		120,000		140,507
				1,148,684
Casino Hotels — 0.1%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Senior Notes 5.38% due 03/15/2022		40,000		40,338
Cellular Telecom — 0.2%
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		20,000		20,950
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		45,000		33,412
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		9,360
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		40,000		41,300
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		15,000		15,675
				120,697
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		30,000		29,625
Computer Services — 0.1%
Hewlett Packard Enterprise Co. Senior Notes 2.45% due 10/05/2017*		90,000		90,588
Computers — 0.1%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		50,000		45,158

75

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Containers-Metal/Glass — 0.0%
Ball Corp. Company Guar. Notes 4.38% due 12/15/2020	$	5,000	$	5,203
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.88% due 08/15/2023*		15,000		15,628
				20,831
Data Processing/Management — 0.1%
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		35,000		35,875
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.25% due 11/15/2024*		10,000		10,325
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*		10,000		10,525
				20,850
Diagnostic Equipment — 0.1%
Danaher Corp. Senior Notes 2.40% due 09/15/2020		35,000		36,135
Diversified Banking Institutions — 4.2%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		45,000		45,066
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		100,000		99,496
Bank of America Corp. Sub. Notes 4.00% due 01/22/2025		25,000		25,038
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		25,000		25,457
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		35,000		38,628
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		182,000		209,277
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		115,000		126,272
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		80,000		79,614
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		50,000		50,986
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		245,000		246,530

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Banking Institutions (continued)
Citigroup, Inc. Sub. Notes 4.60% due 03/09/2026	$	35,000	$	35,887
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		80,000		83,779
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		65,000		71,130
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		50,000		50,643
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		65,000		65,535
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		70,000		71,018
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		25,000		25,440
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045		15,000		15,678
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		75,000		76,191
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		49,000		54,372
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		32,000		38,752
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		55,000		68,384
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		75,000		86,960
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		79,000		94,360
JPMorgan Chase & Co. Senior Notes 2.55% due 10/29/2020		50,000		50,673
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		75,000		76,804
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		33,000		34,417
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		50,000		54,124
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		125,000		130,016

76

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021	$	35,000	$	38,245
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		15,000		18,419
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		150,000		172,750
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		35,000		39,583
Morgan Stanley Senior Notes 1.88% due 01/05/2018		155,000		155,493
Morgan Stanley Senior Notes 2.65% due 01/27/2020		15,000		15,222
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		80,000		80,085
Morgan Stanley Senior Notes 4.00% due 07/23/2025		20,000		20,913
Morgan Stanley Senior Notes 4.30% due 01/27/2045		15,000		15,094
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		36,000		37,047
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		10,000		10,834
Morgan Stanley Senior Notes 5.50% due 07/24/2020		100,000		112,431
Morgan Stanley Senior Notes 6.63% due 04/01/2018		100,000		109,253
				2,955,896
Electric-Integrated — 0.3%
AES Corp. Senior Notes 4.88% due 05/15/2023		8,000		7,700
AES Corp. Senior Notes 5.50% due 03/15/2024		15,000		14,662
AES Corp. Senior Notes 8.00% due 06/01/2020		50,000		56,750
Exelon Corp. Senior Notes 2.85% due 06/15/2020		70,000		71,435
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		60,000		76,177
				226,724

Security Description	Principal Amount(12)		Value (Note 2)
Entertainment Software — 0.1%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*	$	75,000	$	78,844
Finance-Consumer Loans — 0.2%
Navient Corp. Senior Notes 5.50% due 01/15/2019		10,000		9,825
Navient Corp. Senior Notes 8.45% due 06/15/2018		65,000		69,631
Synchrony Financial Senior Notes 2.60% due 01/15/2019		70,000		70,150
				149,606
Finance-Credit Card — 0.2%
Visa, Inc. Senior Notes 2.80% due 12/14/2022		40,000		41,715
Visa, Inc. Senior Notes 4.30% due 12/14/2045		60,000		65,640
				107,355
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		50,000		54,915
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		19,000		1,372
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(3)		21,000		2
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(3)		26,000		2
				56,291
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		45,000		45,948
Financial Guarantee Insurance — 0.0%
Radian Group, Inc. Senior Notes 7.00% due 03/15/2021		10,000		10,355
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018*		30,000		30,278
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020*		25,000		25,678
				55,956
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		40,000		40,465

77

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Funeral Services & Related Items — 0.1%
Service Corp. International Senior Notes 4.50% due 11/15/2020	$	40,000	$	41,300
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		50,000		51,245
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Senior Sec. Notes 7.88% due 02/15/2021*		25,000		26,438
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		3,000		3,150
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		14,000		14,665
				17,815
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018		45,000		45,831
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		25,000		25,418
				71,249
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		5,000		5,113
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		70,000		101,477
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		20,000		20,150
Machinery-Farming — 0.0%
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 11/06/2020		30,000		29,475
Medical Instruments — 0.1%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		50,000		51,741
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		20,000		21,652
				73,393

Security Description	Principal Amount(12)		Value (Note 2)
Medical Products — 0.2%
Stryker Corp. Senior Notes 2.63% due 03/15/2021	$	40,000	$	40,789
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		110,000		109,963
				150,752
Medical-Biomedical/Gene — 0.1%
Celgene Corp. Senior Notes 4.63% due 05/15/2044		20,000		20,376
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		35,000		36,984
				57,360
Medical-Drugs — 0.1%
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		75,000		76,554
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		15,000		15,388
				91,942
Medical-HMO — 0.6%
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		15,000		15,171
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		25,000		25,302
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		50,000		49,357
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		50,000		52,733
UnitedHealth Group, Inc. Senior Notes 1.70% due 02/15/2019		55,000		55,456
UnitedHealth Group, Inc. Senior Notes 2.13% due 03/15/2021		85,000		85,744
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		65,000		69,147
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		55,000		59,261
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		20,000		22,934
WellCare Health Plans, Inc. Senior Notes 5.75% due 11/15/2020		15,000		15,525
				450,630

78

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Hospitals — 0.3%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021	$	25,000	$	25,312
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		50,000		51,220
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		10,000		10,825
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,488
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		10,000		10,975
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		25,000		26,125
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		75,000		79,875
				214,820
Medical-Wholesale Drug Distribution — 0.0%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		30,000		30,140
Multimedia — 0.6%
21st Century Fox America, Inc. Company Guar. Notes 3.70% due 10/15/2025		40,000		41,883
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		95,000		114,270
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		60,000		72,721
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		115,000		147,040
Time Warner, Inc. Company Guar. Notes 7.63% due 04/15/2031		35,000		44,675
				420,589
Networking Products — 0.2%
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		135,000		137,686
Oil Companies-Exploration & Production — 0.6%
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		70,000		70,616
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		45,000		45,941

Security Description	Principal Amount(12)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019	$	15,000	$	16,236
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		15,000		13,800
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		20,000		19,600
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026		25,000		25,996
Hess Corp. Senior Notes 5.60% due 02/15/2041		25,000		22,207
Hess Corp. Senior Notes 6.00% due 01/15/2040		25,000		23,035
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		75,000		79,385
Noble Energy, Inc. Senior Notes 4.15% due 12/15/2021		30,000		29,948
Pioneer Natural Resources Co. Senior Notes 3.95% due 07/15/2022		10,000		10,155
Pioneer Natural Resources Co. Senior Notes 4.45% due 01/15/2026		45,000		45,354
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		3,475
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		7,300
				413,048
Oil Companies-Integrated — 0.4%
ConocoPhillips Co. Company Guar. Notes 3.35% due 11/15/2024		25,000		24,151
ConocoPhillips Co. Company Guar. Notes 4.20% due 03/15/2021		50,000		52,216
ConocoPhillips Co. Company Guar. Notes 4.95% due 03/15/2026		50,000		52,197
Exxon Mobil Corp. Senior Notes 2.22% due 03/01/2021		60,000		61,062
Exxon Mobil Corp. Senior Notes 2.73% due 03/01/2023		50,000		50,852
Exxon Mobil Corp. Senior Notes 3.04% due 03/01/2026		25,000		25,587

79

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated (continued)
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020	$	55,000	$	46,673
				312,738
Oil Refining & Marketing — 0.0%
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		10,000		9,825
Oil-Field Services — 0.0%
Halliburton Co. Senior Notes 2.70% due 11/15/2020		30,000		30,457
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		11,000		10,491
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		30,000		29,288
				39,779
Physicians Practice Management — 0.0%
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023*		5,000		5,200
Pipelines — 0.8%
DCP Midstream LLC Senior Notes 9.75% due 03/15/2019*		5,000		4,781
DCP Midstream Operating LP Company Guar. Notes 2.70% due 04/01/2019		5,000		4,467
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		10,000		8,212
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022		5,000		4,394
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		86,000		82,775
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		75,000		65,063
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		100,000		86,132
Kinder Morgan Energy Partners LP Company Guar. Notes 5.30% due 09/15/2020		15,000		15,626
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		5,000		5,326
Kinder Morgan Energy Partners LP Company Guar. Notes 6.85% due 02/15/2020		10,000		10,926

Security Description	Principal Amount(12)		Value (Note 2)
Pipelines (continued)
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046	$	40,000	$	34,039
Magellan Midstream Partners LP Senior Notes 5.00% due 03/01/2026		15,000		16,221
MPLX LP Company Guar. Notes 4.50% due 07/15/2023*		15,000		13,833
MPLX LP Company Guar. Notes 4.88% due 12/01/2024*		15,000		13,849
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		30,000		27,539
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019*		15,000		14,925
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		3,965
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022*		25,000		24,750
Williams Partners LP Senior Notes 3.60% due 03/15/2022		120,000		98,810
				535,633
Real Estate Investment Trusts — 0.7%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		90,000		92,263
American Tower Corp. Senior Notes 3.45% due 09/15/2021		45,000		46,014
HCP, Inc. Senior Notes 5.38% due 02/01/2021		25,000		27,303
HCP, Inc. Senior Notes 6.00% due 01/30/2017		80,000		82,640
Kimco Realty Corp. Senior Notes 3.40% due 11/01/2022		15,000		15,205
Liberty Property LP Senior Notes 3.38% due 06/15/2023		25,000		24,698
Liberty Property LP Senior Notes 4.13% due 06/15/2022		25,000		26,036
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		25,000		26,216

80

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021	$	61,000	$	67,088
Welltower, Inc. Senior Notes 5.25% due 01/15/2022		75,000		81,897
				489,360
Real Estate Operations & Development — 0.1%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		100,000		104,173
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		30,000		38,264
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023		15,000		14,906
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		20,000		19,896
				73,066
Retail-Automobile — 0.0%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		25,000		24,750
Retail-Drug Store — 0.3%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		110,000		114,164
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		10,000		10,791
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		65,000		75,278
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		12,942		14,020
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		21,488		23,780
				238,033
Retail-Perfume & Cosmetics — 0.0%
Sally Holdings LLC/ Sally Capital, Inc. Company Guar. Notes 5.63% due 12/01/2025		5,000		5,325
Retail-Restaurants — 0.0%
McDonald's Corp. Senior Notes 2.75% due 12/09/2020		20,000		20,715

Security Description	Principal Amount(12)		Value (Note 2)
Security Services — 0.1%
ADT Corp. Senior Notes 6.25% due 10/15/2021	$	35,000	$	35,175
Steel-Producers — 0.1%
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		10,000		10,100
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		15,000		15,188
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		35,000		27,300
				52,588
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		20,000		20,550
Telephone-Integrated — 0.9%
AT&T, Inc. Senior Notes 1.75% due 01/15/2018		50,000		50,159
AT&T, Inc. Senior Notes 2.40% due 03/15/2017		50,000		50,583
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		45,000		46,749
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		20,000		21,076
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		30,000		29,583
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		70,000		68,282
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*		10,000		10,250
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		121,000		120,394
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		50,000		50,547
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		31,000		31,053
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		124,000		119,040
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		42,000		42,136
				639,852

81

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Television — 0.1%
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026	$	15,000	$	15,668
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		75,000		78,300
				93,968
Tobacco — 0.1%
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		46,000		48,105
Transport-Rail — 0.2%
Kansas City Southern Company Guar. Notes 3.00% due 05/15/2023*		125,000		121,353
Union Pacific Corp. Senior Notes 2.75% due 03/01/2026		10,000		10,169
				131,522
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.25% due 04/01/2026		15,000		15,393
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		25,000		25,693
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		40,000		40,076
				81,162
Trucking/Leasing — 0.2%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		130,000		138,811
X-Ray Equipment — 0.0%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*		10,000		10,425
Total U.S. Corporate Bonds & Notes (cost $13,757,282)				14,070,026
FOREIGN CORPORATE BONDS & NOTES — 4.1%
Banks-Commercial — 1.6%
Bank of Nova Scotia Sub. Notes 4.50% due 12/16/2025		145,000		144,758
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		205,000		216,117
Barclays Bank PLC VRS Sub. Notes 7.75% due 04/10/2023		200,000		210,000

Security Description	Principal Amount(12)		Value (Note 2)
Banks-Commercial (continued)
BPCE SA Sub. Notes 5.15% due 07/21/2024*	$	200,000	$	204,285
Credit Suisse AG Sub. Notes 5.40% due 01/14/2020		132,000		143,067
Santander Issuances SAU Company Guar. Notes 5.18% due 11/19/2025		200,000		193,270
				1,111,497
Building Products-Wood — 0.1%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		35,000		34,475
Diversified Banking Institutions — 0.5%
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021		200,000		204,098
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		100,000		120,979
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		40,000		42,431
				367,508
Electric-Generation — 0.1%
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		75,000		77,325
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		5,000		5,216
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		6,000		6,517
				11,733
Insurance-Life/Health — 0.1%
Manulife Financial Corp. Senior Notes 4.15% due 03/04/2026		50,000		51,082
Medical-Generic Drugs — 0.6%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		205,000		207,422
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		155,000		159,372
Mylan NV Company Guar. Notes 3.00% due 12/15/2018*		25,000		25,343
Mylan NV Company Guar. Notes 3.75% due 12/15/2020*		30,000		30,695
				422,832

82

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Metal-Diversified — 0.0%
Rio Tinto Finance USA, Ltd. Company Guar. Notes 3.75% due 06/15/2025	$	10,000	$	9,746
Oil Companies-Exploration & Production — 0.2%
Encana Corp. Senior Notes 6.50% due 05/15/2019		90,000		89,802
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		35,000		21,262
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		3,540
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		5,000		3,019
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*		5,000		2,950
				120,573
Oil Companies-Integrated — 0.7%
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		30,000		30,460
Cenovus Energy, Inc. Senior Notes 3.00% due 08/15/2022		10,000		8,891
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		55,000		44,910
Cenovus Energy, Inc. Senior Notes 5.70% due 10/15/2019		105,000		105,369
Ecopetrol SA Senior Notes 5.88% due 05/28/2045		40,000		31,488
Petrobras Global Finance BV Company Guar. Notes 5.38% due 10/01/2029(3)	GBP	100,000		89,108
Petroleos Mexicanos Company Guar. Notes 5.50% due 02/04/2019*		40,000		41,900
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		75,000		62,318
Petroleos Mexicanos Company Guar. Notes 6.38% due 02/04/2021*		20,000		21,330
Statoil ASA Company Guar. Notes 3.70% due 03/01/2024		10,000		10,445
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		55,000		52,419
				498,638

Security Description	Principal Amount(12)		Value (Note 2)
Paper & Related Products — 0.0%
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022*	$	5,000	$	4,809
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*		25,000		23,594
				28,403
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		25,000		25,187
Tobacco — 0.1%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		55,000		56,560
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		39,173
Wireless Equipment — 0.0%
Nokia Oyj Senior Notes 6.63% due 05/15/2039		25,000		26,000
Total Foreign Corporate Bonds & Notes (cost $2,947,783)				2,880,732
MUNICIPAL BONDS & NOTES — 1.0%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		90,000		107,132
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		27,000		30,967
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(3)		300,000		91,125
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039(3)		90,000		27,337
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058(3)		25,000		7,594
State of California General Obligation Bonds 7.30% due 10/01/2039		5,000		7,331

83

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
State of California General Obligation Bonds 7.55% due 04/01/2039	$	55,000	$	84,207
State of California General Obligation Bonds 7.63% due 03/01/2040		120,000		183,646
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		10,000		9,351
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		65,000		68,500
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		90,000		100,028
Total Municipal Bonds & Notes (cost $758,945)				717,218
U.S. GOVERNMENT AGENCIES — 26.7%
Federal Home Loan Mtg. Corp. — 6.1%
2.12% due 02/01/2037 FRS		6,779		7,037
2.50% due 01/01/2028		16,510		17,033
2.50% due 04/01/2028		42,258		43,544
3.00% due 08/01/2027		70,938		74,391
3.00% due 10/01/2042		43,061		44,404
3.00% due 11/01/2042		20,071		20,585
3.00% due 08/01/2043		346,177		355,552
3.00% due 07/01/2045		196,165		201,017
3.50% due 03/01/2042		14,436		15,129
3.50% due 08/01/2042		93,293		97,768
3.50% due 09/01/2043		74,411		78,365
3.50% due April TBA		800,000		837,033
4.00% due 03/01/2023		16,568		17,225
4.00% due 09/01/2040		7,935		8,491
4.00% due 10/01/2043		95,080		101,574
4.00% due April TBA		700,000		747,086
4.50% due 01/01/2039		3,331		3,616
5.00% due 12/01/2020		6,579		6,987
5.00% due 05/01/2021		85,034		89,873
5.00% due 07/01/2021		24,613		25,553
5.00% due 05/01/2034		51,320		57,063
5.50% due 05/01/2037		11,645		13,047
5.50% due 06/01/2037		5,622		6,311
6.00% due 08/01/2036		11,014		12,465
6.50% due 05/01/2029		2,436		2,773
6.50% due 07/01/2035		3,006		3,598
6.50% due 05/01/2036		77		87
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2013-K502, Class B 2.64% due 03/25/2045*(6)		100,000		100,174
Series 2014-K503, Class B 3.01% due 10/25/2047*(6)		80,000		79,705
Series 2012-K706, Class B 4.03% due 11/25/2044*(6)		70,000		71,872
Series 2010-K8, Class B 5.25% due 09/25/2043*(6)		90,000		97,906

Security Description	Principal Amount(12)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Series 2014-HQ1, Class M2 2.93% due 08/25/2024 FRS(4)	$	250,000	$	252,737
Series 2015-DNA2, Class M2 3.03% due 12/25/2027(4)		250,000		250,078
Series 2014-HQ3, Class M2 3.08% due 10/25/2024 FRS(4)		250,000		252,551
Series DNA3, Class M2 3.28% due 04/25/2028(4)		280,000		281,887
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3)(4)		11,277		11,447
Series 1577, Class PK 6.50% due 09/15/2023(4)		7,343		8,030
Series 1226, Class Z 7.75% due 03/15/2022(4)		715		761
				4,294,755
Federal National Mtg. Assoc. — 16.5%
2.35% due 05/01/2037 FRS		10,856		11,353
2.50% due 04/01/2028		70,454		72,661
2.50% due 02/01/2043		85,187		84,912
2.50% due 03/01/2043		169,156		168,611
2.50% due April TBA		100,000		102,656
2.58% due 10/01/2040 FRS		11,281		11,954
2.64% due 03/01/2027		39,280		39,739
2.66% due 03/01/2027		410,000		413,812
2.78% due 03/01/2027		78,000		79,667
3.00% due 10/01/2027		31,823		33,320
3.00% due 12/01/2027		15,693		16,426
3.00% due 01/01/2028		51,579		54,008
3.00% due April TBA		3,100,000		3,191,172
3.50% due 08/01/2026		31,320		33,124
3.50% due 10/01/2028		117,125		124,047
3.50% due April TBA		3,800,000		3,984,211
4.00% due 11/01/2025		9,992		10,681
4.00% due 09/01/2040		7,045		7,548
4.00% due 12/01/2040		121,076		129,750
4.00% due 11/01/2041		11,740		12,576
4.00% due 01/01/2042		37,683		40,367
4.00% due 12/01/2043		32,847		35,669
4.00% due April TBA		500,000		534,219
4.50% due 01/01/2039		9,987		10,859
4.50% due 09/01/2039		22,516		24,558
4.50% due 09/01/2040		46,674		50,935
4.50% due 05/01/2041		22,994		25,013
4.50% due April TBA		800,000		870,500
5.00% due 03/01/2018		9,688		10,033
5.00% due 06/01/2019		3,404		3,530
5.00% due 05/01/2035		489		542
5.00% due 07/01/2040		36,342		40,279
5.00% due April TBA		900,000		995,625
5.50% due 10/01/2021		10,869		11,615
5.50% due 06/01/2022		3,852		4,096
5.50% due 12/01/2029		6,868		7,697
5.50% due 05/01/2034		23,694		26,635

84

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
5.50% due 08/01/2037	$	34,533	$	38,874
5.50% due 06/01/2038		9,755		11,056
6.00% due 06/01/2017		1,821		1,857
6.00% due 06/01/2026		21,688		24,713
6.00% due 04/01/2027		113,856		129,736
6.00% due 12/01/2033		31,954		37,017
6.00% due 05/01/2034		20,737		23,870
6.50% due 06/01/2035		69,602		79,994
6.50% due 10/01/2037		4,562		5,348
7.00% due 06/01/2037		26,178		32,271
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4)		14,992		15,024
				11,674,160
Government National Mtg. Assoc. — 4.1%
3.00% due April TBA		1,000,000		1,035,879
3.50% due April TBA		500,000		528,438
4.00% due 09/15/2040		34,825		37,339
4.00% due 11/15/2040		109,199		117,097
4.00% due April TBA		700,000		748,089
4.50% due 02/15/2039		9,567		10,404
4.50% due 08/15/2041		254,213		277,378
5.50% due 05/15/2036		10,882		12,247
6.00% due 09/15/2032		12,211		14,102
6.00% due 12/15/2033		49,204		56,829
7.00% due 07/15/2033		12,790		15,319
7.00% due 11/15/2033		13,746		16,797
8.00% due 11/15/2031		4,566		4,701
8.50% due 11/15/2017		126		128
9.00% due 11/15/2021		187		210
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(4)		184		207
Series 2005-74, Class HB 7.50% due 09/16/2035(4)		10,630		12,435
				2,887,599
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		25,000		25,481
Total U.S. Government Agencies (cost $18,682,255)				18,881,995
U.S. GOVERNMENT TREASURIES — 5.0%
United States Treasury Bonds — 0.3%
2.50% due 02/15/2045(13)(16)		213,000		207,691
United States Treasury Notes — 4.7%
0.13% due 07/15/2024 TIPS(9)		1,182,298		1,186,363
0.25% due 01/15/2025 TIPS(9)		1,490,313		1,502,867
0.38% due 07/15/2025 TIPS(9)		614,379		627,795
				3,317,025
Total U.S. Government Treasuries (cost $3,436,887)				3,524,716

Security Description	Shares/ Principal Amount(12)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS — 2.2%
Sovereign — 2.2%
Brazil Letras do Tesouro Nacional Nacional Bills zero coupon due 04/01/2016	BRL	351,000	$	97,566
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2016(9)	BRL	923,458		256,964
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2022(9)	BRL	322,070		87,544
Government of Japan Senior Bonds 0.10% due 08/15/2016	JPY	60,000,000		533,493
Government of Romania Bonds 5.80% due 07/26/2027	RON	330,000		99,615
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(9)	UYU	2,237,512		56,806
Oriental Republic of Uruguay Notes 4.25% due 04/05/2027(9)	UYU	2,757,865		80,389
Oriental Republic of Uruguay Senior Notes 4.38% due 12/15/2028(9)	UYU	782,522		23,055
Republic of Argentina Senior Notes 2.26% due 12/31/2038	EUR	75,000		49,840
Republic of Colombia Bonds 3.00% due 03/25/2033(9)	COP	167,453,540		47,550
Republic of Turkey Bonds 2.50% due 05/04/2016(9)	TRY	714,825		251,525
Republic of Venezuela Senior Bonds 6.00% due 12/09/2020(3)		20,000		6,700
Total Foreign Government Obligations (cost $1,635,701)				1,591,047
OPTIONS — PURCHASED†(3)(11) — 0.0%
Put Options — Purchased (cost $3,821)		592,000		2,352
Total Long-Term Investment Securities (cost $80,904,713)				83,218,155
SHORT-TERM INVESTMENT SECURITIES — 0.4%
Commercial Paper — 0.4%
BNP Paribas SA 0.24% due 04/01/2016 (cost $300,000)	$	300,000		300,000
REPURCHASE AGREEMENTS — 0.8%
Bank of America Securities LLC Joint Repurchase Agreement(14)		150,000		150,000

85

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(12)			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
Barclays Capital, Inc. Joint Repurchase Agreement(14)	$	60,000		$	60,000
BNP Paribas SA Joint Repurchase Agreement(14)		125,000			125,000
Deutsche Bank AG Joint Repurchase Agreement(14)		125,000			125,000
RBS Securities, Inc. Joint Repurchase Agreement(14)		85,000			85,000
Total Repurchase Agreements (cost $545,000)					545,000
TOTAL INVESTMENTS (cost $81,749,713)(15)		118.9	%		84,063,155
Liabilities in excess of other assets		(18.9	)		(13,386,162	)
NET ASSETS		100.0	%	$	70,676,993

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2016, the aggregate value of these securities was $12,258,709 representing 17.3% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Perpetual maturity — maturity date reflects the next call date.

(3)  Illiquid security. At March 31, 2016, the aggregate value of these securities was $1,085,666 representing 1.5% of net assets.

(4)  Collateralized Mortgage Obligation

(5)  Collateralized Loan Obligation

(6)  Commercial Mortgage Backed Security

(7)  Interest Only

(8)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. Rate shown reflects the increased rate.

(9)  Principal Amount of security is adjusted for inflation.

(10)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2016, the Multi-Managed Income/Equity Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	03/05/2014		10	$	0	$	9,765	$	976.54		0.00	%

(11)  Options — Purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at March 31, 2016		Unrealized Appreciation (Depreciation)
Put option to sell Chinese Yuan in exchange for U.S. Dollars with Goldman Sachs International	April 2016	$	6.46	$	395,000	$	2,511	$	1,217	$	(1,294	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars with Goldman Sachs International	May 2016		6.47		197,000		1,310		1,135		(175	)
						$	3,821	$	2,352	$	(1,469	)

(12)  Denominated in United States dollars unless otherwise indicated.

(13)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(14)  See Note 2 for details of Joint Repurchase Agreements.

(15)  See Note 4 for cost of investments on a tax basis.

(16)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

BRL — Brazilian Real

CLO — Collateralized Loan Obligation

COP — Colombian Peso

EUR — Euro Dollar

GBP — Pound Sterling

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

86

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TIPS — Treasury Inflation Protected Securities

TRY — Turkish Lira

UYU — Uruguayan Peso

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at March 31, 2016 and unless noted otherwise, the dates shown are the original maturity dates.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	8	Short	U.S. Treasury 2 Year Notes	June 2016	$	1,749,503	$	1,750,000	$	(497	)
	70	Long	U.S. Treasury 5 Year Notes	June 2016		8,490,514		8,481,485		(9,029	)
	79	Short	U.S. Treasury 10 Year Notes	June 2016		10,314,665		10,300,859		13,806
	11	Short	U.S. Treasury 10 Year Ultra Bonds	June 2016		1,540,022		1,548,250		(8,228	)
	1	Short	U.S. Treasury Long Bonds	June 2016		165,838		164,438		1,400
	12	Long	U.S. Treasury Ultra Long Bonds	June 2016		2,085,761		2,070,375		(15,386	)
									$	(17,934	)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	215,000	USD	233,936	03/15/2017	$	—	$	(13,794	)
	TRY	300,000	USD	101,781	06/15/2016		—		(2,545	)
	USD	42,001	THB	1,486,000	06/15/2016		169		—
	USD	101,862	TRY	300,000	06/15/2016		2,464		—
	USD	16,964	EUR	15,000	03/15/2017		319		—
							2,952		(16,339	)
Barclays Bank PLC	IDR	2,005,000,000	USD	150,086	04/01/2016		—		(1,120	)
	IDR	460,000,000	USD	31,867	05/18/2016		—		(2,955	)
	USD	150,582	IDR	2,005,000,000	04/01/2016		625		—
							625		(4,075	)
BNP Paribas SA	USD	51,461	ZAR	769,000	04/18/2016		484		—
	USD	24,347	ZAR	368,000	06/15/2016		227		—
							711		—
Calyon Bank	PEN	27,000	USD	7,752	06/15/2016		—		(318	)
Citibank N.A.	EUR	481,000	USD	539,178	04/29/2016		—		(8,561	)
	USD	37,455	UYU	1,188,000	04/04/2016		21		—
	USD	49,950	EUR	45,000	03/15/2017		1,900		—
	UYU	1,188,000	USD	36,554	04/04/2016		—		(923	)
							1,921		(9,484	)
Credit Suisse International	TRY	719,778	USD	248,178	05/04/2016		—		(4,895	)
Deutsche Bank AG	CNY	295,000	USD	44,765	07/28/2016		—		(576	)
	IDR	489,750,000	USD	35,879	09/21/2016		—		(309	)
							—		(885	)

87

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Goldman Sachs International	BRL	273,000	USD	76,709	04/04/2016	$	784	$	—
	BRL	255,000	USD	67,439	07/05/2016		—		(1,710	)
	CNY	75,000	USD	11,407	07/28/2016		—		(120	)
	IDR	2,005,000,000	USD	153,053	04/01/2016		1,847		—
	USD	150,086	IDR	2,005,000,000	04/01/2016		1,121		—
	USD	73,954	BRL	273,000	04/04/2016		1,971		—
	USD	58,511	IDR	904,000,000	05/18/2016		9,921		—
	USD	144,629	IDR	1,959,000,000	09/21/2016		124		—
	ZAR	368,000	USD	22,342	06/15/2016		—		(2,232	)
							15,768		(4,062	)
HSBC Bank USA, N.A.	IDR	979,500,000	USD	72,155	09/21/2016		—		(222	)
	USD	147,986	UYU	4,750,000	04/04/2016		1,857		—
	UYU	2,374,000	USD	72,341	04/04/2016		—		(2,591	)
	UYU	4,750,000	USD	141,926	06/30/2016		—		(3,068	)
							1,857		(5,881	)
JPMorgan Chase Bank	GBP	100,000	USD	141,465	04/29/2016		—		(2,171	)
	IDR	444,000,000	USD	30,674	05/18/2016		—		(2,937	)
	PEN	68,000	USD	19,560	06/15/2016		—		(764	)
	RON	405,000	USD	101,071	06/15/2016		—		(2,139	)
	USD	37,455	UYU	1,188,000	04/04/2016		21		—
	USD	5,606	EUR	5,000	04/29/2016		87		—
	USD	59,021	CNY	370,000	07/28/2016		—		(2,152	)
	UYU	1,188,000	USD	36,543	04/04/2016		—		(934	)
	USD	7,142	GBP	5,000	04/29/2016		40		—
							148		(11,097	)
Morgan Stanley and Co., Inc.	BRL	578,000	USD	145,838	04/04/2016		—		(14,912	)
	BRL	345,000	USD	87,860	04/06/2016		—		(8,032	)
	BRL	920,000	USD	243,915	08/17/2016		—		(2,391	)
	JPY	60,059,000	USD	535,133	08/15/2016		—		(799	)
	USD	159,861	BRL	578,000	04/04/2016		889		—
	USD	68,513	THB	2,425,000	06/15/2016		305		—
							1,194		(26,134	)
Royal Bank of Canada	USD	25,212	MXN	441,000	06/15/2016		149		—
Standard Chartered Bank	IDR	489,750,000	USD	35,932	09/21/2016		—		(256	)
	MXN	538,000	USD	29,755	06/15/2016		—		(1,185	)
	THB	3,911,000	USD	109,490	06/15/2016		—		(1,497	)
							—		(2,938	)
State Street Bank and Trust Co.	PEN	2,000	USD	580	06/15/2016		—		(18	)
	USD	5,537	MXN	97,000	06/15/2016		41		—
	USD	28,588	PEN	97,000	06/15/2016		403		—
	ZAR	769,000	USD	47,949	04/18/2016		—		(3,995	)
							444		(4,013	)
UBS AG	USD	177,726	EUR	155,000	03/15/2017		870		—
Westpac Banking Corp.	GBP	64,000	USD	91,003	06/15/2016		—		(938	)
Net Unrealized Appreciation(Depreciation)						$	26,639	$	(91,059	)

BRL — Brazilian Real
CNY — Chinese Yuan
EUR — Euro Dollar
GBP — Pound Sterling
IDR — Indonesian Rupiah
JPY — Japanese Yen
MXN — Mexican Peso
PEN — Peruvian Nuevo
RON — Romanian Leu
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand

88

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio	Payments Made by the Portfolio			Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	545	06/15/2026	3 month LIBOR		1.78	%	$	—	$	(4,897	)
USD	545	06/15/2026	3 month LIBOR		1.79			—		(5,154	)
									$	(10,051	)

Over the Counter Cross-Currency Interest Rate Swap Contracts

Swap Counterparty	Receive	Pay	Termination Date	Notional Amount of Currency Received (000's)	Notional Amount of Currency Delivered (000's)	Unrealized Appreciation (Depreciation)
Goldman Sachs International	3.30% based on the notional amount of currency received	3 Month LIBOR based on the notional amount of currency delivered	09/21/2021	CNY705	$108	$5,536

CNY — Chinese Yuan

LIBOR — London Interbank Offered Rate

USD — United States Dollar

89

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Television	$	—	$	—	$	9,765	$	9,765
Other Industries		22,551,418		—		—		22,551,418
Preferred Securities/Capital Securities		—		1,210,190		—		1,210,190
Asset Backed Securities		—		17,778,696		—		17,778,696
U.S. Corporate Bonds & Notes		—		14,070,026		—		14,070,026
Foreign Corporate Bonds & Notes		—		2,880,732		—		2,880,732
Municipal Bond & Notes		—		717,218		—		717,218
U.S. Government Agencies		—		18,881,995		—		18,881,995
U.S. Government Treasuries		—		3,524,716		—		3,524,716
Foreign Government Obligations		—		1,591,047		—		1,591,047
Options - Purchased		—		2,352		—		2,352
Short-Term Investment Securities		—		300,000		—		300,000
Repurchase Agreements		—		545,000		—		545,000
Total Investments at Value	$	22,551,418	$	61,501,972	$	9,765	$	84,063,155
Other Financial Instruments:†
Futures Contracts	$	15,206	$	—	$	—	$	15,206
Forward Foreign Currency Contracts		—		26,639		—		26,639
Over the Counter Cross-Currency Interest Rate Swap Contracts		—		5,536		—		5,536
Total Other Financial Instruments	$	15,206	$	32,175	$	—	$	47,381
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	33,140	$	—	$	—	$	33,140
Forward Foreign Currency Contracts		—		91,059		—		91,059
Centrally Cleared Interest Rate Swap Contracts		—		10,051		—		10,051
Total Other Financial Instruments	$	33,140	$	101,110	$	—	$	134,250

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

90

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Diversified Financial Services	30.6	%
Federal National Mtg. Assoc.	19.9
Federal Home Loan Mtg. Corp.	7.3
Government National Mtg. Assoc.	6.6
Diversified Banking Institutions	6.6
United States Treasury Notes	5.9
Banks-Commercial	3.0
Sovereign	2.8
Cable/Satellite TV	2.3
Oil Companies-Integrated	1.4
Brewery	1.4
Municipal Bonds & Notes	1.2
Medical-Biomedical/Gene	1.2
Real Estate Investment Trusts	1.2
Medical-Drugs	1.2
United States Treasury Bonds	1.1
Telephone-Integrated	1.1
Multimedia	1.1
Auto-Cars/Light Trucks	1.0
Repurchase Agreements	1.0
Pipelines	1.0
Oil Companies-Exploration & Production	0.9
Web Portals/ISP	0.9
Banks-Super Regional	0.8
Computers	0.8
Medical-HMO	0.7
Finance-Credit Card	0.7
Medical-Generic Drugs	0.7
Applications Software	0.6
Medical-Hospitals	0.5
Commercial Paper	0.5
Internet Content-Entertainment	0.5
Retail-Restaurants	0.4
Electric-Integrated	0.4
Building Societies	0.4
Retail-Drug Store	0.4
E-Commerce/Products	0.4
Electronic Connectors	0.4
Tobacco	0.4
Diversified Manufacturing Operations	0.4
Building-Heavy Construction	0.4
Computer Services	0.4
Cellular Telecom	0.4
Aerospace/Defense	0.4
Cosmetics & Toiletries	0.4
Retail-Building Products	0.4
Finance-Consumer Loans	0.3
Instruments-Controls	0.3
Retail-Discount	0.3
Commercial Services	0.3
Building-Residential/Commercial	0.3
Beverages-Non-alcoholic	0.3
Transport-Rail	0.3
Pharmacy Services	0.3
Electronic Components-Semiconductors	0.3
Medical Products	0.3
Medical Instruments	0.2
Trucking/Leasing	0.2
Networking Products	0.2
Industrial Gases	0.2

Apparel Manufacturers	0.2	%
Food-Retail	0.2
Airlines	0.2
Food-Confectionery	0.2
E-Commerce/Services	0.2
Insurance-Mutual	0.2
Electronic Forms	0.2
Athletic Footwear	0.2
Enterprise Software/Service	0.2
Insurance-Property/Casualty	0.2
Agricultural Chemicals	0.2
Containers-Metal/Glass	0.2
Television	0.2
Food-Wholesale/Distribution	0.2
Chemicals-Diversified	0.2
Real Estate Operations & Development	0.2
Finance-Other Services	0.2
Rental Auto/Equipment	0.2
Building Products-Cement	0.2
Wireless Equipment	0.2
Paper & Related Products	0.2
Commercial Services-Finance	0.2
Transport-Services	0.1
Recreational Vehicles	0.1
Entertainment Software	0.1
Electric-Generation	0.1
Auto/Truck Parts & Equipment-Original	0.1
Medical Information Systems	0.1
Building & Construction Products-Misc.	0.1
Cruise Lines	0.1
Retail-Gardening Products	0.1
Telecommunication Equipment	0.1
Electronic Design Automation	0.1
Insurance Brokers	0.1
Machinery-General Industrial	0.1
Insurance-Life/Health	0.1
Consulting Services	0.1
Distribution/Wholesale	0.1
Aerospace/Defense-Equipment	0.1
Metal Processors & Fabrication	0.1
Broadcast Services/Program	0.1
Finance-Investment Banker/Broker	0.1
Food-Misc./Diversified	0.1
Steel-Producers	0.1
Retail-Auto Parts	0.1
Real Estate Management/Services	0.1
Funeral Services & Related Items	0.1
Hazardous Waste Disposal	0.1
Banks-Fiduciary	0.1
Hotels/Motels	0.1
Electronic Measurement Instruments	0.1
Oil-Field Services	0.1
Building Products-Wood	0.1
Computer Software	0.1
Beverages-Wine/Spirits	0.1
Insurance-Multi-line	0.1
Computer Aided Design	0.1
Toys	0.1
Advertising Agencies	0.1
Casino Hotels	0.1

91

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Security Services	0.1	%
Diagnostic Equipment	0.1
Data Processing/Management	0.1
Investment Management/Advisor Services	0.1
Batteries/Battery Systems	0.1
Medical-Wholesale Drug Distribution	0.1
Retail-Automobile	0.1
Machinery-Farming	0.1
	124.9	%
Credit Quality†#
Aaa	52.3	%
Aa	3.4
A	8.2
Baa	14.8
Ba	6.8
B	1.2
Caa	1.6
Ca	0.7
Not Rated@	11.0
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

#  Calculated as a percentage of total debt issues, excluding short-term securities.

@  Represents debt issues that either have no rating, or the rating is unavailable from the data source.

92

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 16.4%
Aerospace/Defense — 0.3%
Northrop Grumman Corp.		492	$	97,367
Teledyne Technologies, Inc.†		630		55,528
				152,895
Aerospace/Defense-Equipment — 0.1%
United Technologies Corp.		590		59,059
Airlines — 0.2%
United Continental Holdings, Inc.†		2,035		121,815
Apparel Manufacturers — 0.1%
Carter's, Inc.		698		73,555
Applications Software — 0.4%
NetSuite, Inc.†		1,087		74,448
Salesforce.com, Inc.†		996		73,535
ServiceNow, Inc.†		1,278		78,188
				226,171
Athletic Footwear — 0.2%
NIKE, Inc., Class B		1,853		113,904
Auto/Truck Parts & Equipment-Original — 0.1%
Delphi Automotive PLC		1,021		76,595
Banks-Commercial — 0.1%
PacWest Bancorp		750		27,863
Beverages-Non-alcoholic — 0.3%
Coca-Cola Co.		3,870		179,529
Beverages-Wine/Spirits — 0.1%
Brown-Forman Corp., Class B		490		48,250
Building Products-Cement — 0.2%
Vulcan Materials Co.		866		91,424
Cable/Satellite TV — 0.4%
Comcast Corp., Class A		3,283		200,526
Time Warner Cable, Inc.		252		51,564
				252,090
Cellular Telecom — 0.2%
T-Mobile US, Inc.†		2,260		86,558
Chemicals-Diversified — 0.2%
PPG Industries, Inc.		936		104,355
Commercial Services — 0.3%
Aramark		1,554		51,468
CoStar Group, Inc.†		235		44,220
Nielsen Holdings PLC		836		44,024
ServiceMaster Global Holdings, Inc.†		1,285		48,419
				188,131
Commercial Services-Finance — 0.1%
McGraw Hill Financial, Inc.		311		30,783
Computer Aided Design — 0.1%
ANSYS, Inc.†		525		46,967
Computer Services — 0.2%
Amdocs, Ltd.		1,127		68,093
Cognizant Technology Solutions Corp., Class A†		923		57,872
				125,965

Security Description	Shares		Value (Note 2)
Computer Software — 0.1%
SS&C Technologies Holdings, Inc.		774	$	49,087
Computers — 0.7%
Apple, Inc.		3,856		420,265
Consulting Services — 0.1%
Verisk Analytics, Inc.†		764		61,059
Containers-Metal/Glass — 0.2%
Crown Holdings, Inc.†		1,807		89,609
Cosmetics & Toiletries — 0.4%
Colgate-Palmolive Co.		1,287		90,926
Estee Lauder Cos., Inc., Class A		1,247		117,605
				208,531
Cruise Lines — 0.1%
Norwegian Cruise Line Holdings, Ltd.†		1,312		72,541
Distribution/Wholesale — 0.1%
Fastenal Co.		1,226		60,074
Diversified Manufacturing Operations — 0.2%
A.O. Smith Corp.		658		50,212
Dover Corp.		810		52,107
				102,319
E-Commerce/Products — 0.4%
Amazon.com, Inc.†		385		228,551
E-Commerce/Services — 0.2%
Priceline Group, Inc.†		92		118,584
Electronic Components-Semiconductors — 0.3%
Broadcom, Ltd.		587		90,691
Texas Instruments, Inc.		1,142		65,574
				156,265
Electronic Connectors — 0.4%
Amphenol Corp., Class A		2,560		148,019
TE Connectivity, Ltd.		1,235		76,471
				224,490
Electronic Design Automation — 0.1%
Cadence Design Systems, Inc.†		2,871		67,698
Electronic Forms — 0.2%
Adobe Systems, Inc.†		1,229		115,280
Electronic Measurement Instruments — 0.1%
National Instruments Corp.		1,679		50,555
Enterprise Software/Service — 0.2%
Tyler Technologies, Inc.†		365		46,943
Ultimate Software Group, Inc.†		343		66,370
				113,313
Finance-Consumer Loans — 0.1%
Synchrony Financial†		1,828		52,391
Finance-Credit Card — 0.5%
MasterCard, Inc., Class A		1,472		139,104
Visa, Inc., Class A		2,186		167,185
				306,289

93

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Investment Banker/Broker — 0.1%
E*TRADE Financial Corp.†		1,813	$	44,400
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc.		222		52,201
Financial Guarantee Insurance — 0.0%
MGIC Investment Corp.†		3,265		25,043
Food-Confectionery — 0.2%
Hershey Co.		1,294		119,165
Food-Retail — 0.2%
Kroger Co.		3,188		121,941
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		1,378		64,394
Hotels/Motels — 0.1%
Hilton Worldwide Holdings, Inc.		2,251		50,693
Industrial Gases — 0.2%
Air Products & Chemicals, Inc.		869		125,180
Instruments-Controls — 0.3%
Honeywell International, Inc.		1,090		122,134
Sensata Technologies Holding NV†		1,982		76,981
				199,115
Internet Content-Entertainment — 0.5%
Facebook, Inc., Class A†		2,570		293,237
Internet Content-Information/News — 0.0%
LinkedIn Corp., Class A†		192		21,955
Investment Management/Advisor Services — 0.1%
BlackRock, Inc.		102		34,738
Machinery-General Industrial — 0.1%
Roper Technologies, Inc.		361		65,980
Medical Information Systems — 0.1%
athenahealth, Inc.†		535		74,247
Medical Instruments — 0.1%
Boston Scientific Corp.†		4,320		81,259
Medical-Biomedical/Gene — 1.1%
Alder Biopharmaceuticals, Inc.†		1,696		41,535
Amgen, Inc.		1,575		236,140
Biogen, Inc.†		508		132,243
Celgene Corp.†		1,650		165,148
Regeneron Pharmaceuticals, Inc.†		214		77,134
				652,200
Medical-Drugs — 1.0%
AbbVie, Inc.		2,508		143,257
Allergan PLC†		530		142,056
Bristol-Myers Squibb Co.		2,718		173,626
Ironwood Pharmaceuticals, Inc.†		3,985		43,596
Mallinckrodt PLC†		1,389		85,118
				587,653

Security Description	Shares		Value (Note 2)
Medical-Hospitals — 0.1%
Universal Health Services, Inc., Class B		659	$	82,191
Metal Processors & Fabrication — 0.1%
Rexnord Corp.†		2,859		57,809
Multimedia — 0.3%
Walt Disney Co.		1,482		147,177
Oil Companies-Exploration & Production — 0.0%
Anadarko Petroleum Corp.		348		16,206
Oil Refining & Marketing — 0.0%
Phillips 66		187		16,192
Oil-Field Services — 0.0%
Baker Hughes, Inc.		452		19,811
Pharmacy Services — 0.3%
Diplomat Pharmacy, Inc.†		1,889		51,759
Express Scripts Holding Co.†		1,622		111,415
				163,174
Real Estate Investment Trusts — 0.4%
American Tower Corp.		1,580		161,744
Simon Property Group, Inc.		256		53,169
				214,913
Real Estate Management/Services — 0.1%
Jones Lang LaSalle, Inc.		445		52,207
Recreational Vehicles — 0.1%
Polaris Industries, Inc.		822		80,951
Retail-Auto Parts — 0.1%
AutoZone, Inc.†		66		52,582
Retail-Building Products — 0.4%
Lowe's Cos., Inc.		2,746		208,010
Retail-Discount — 0.3%
Costco Wholesale Corp.		471		74,220
Dollar Tree, Inc.†		1,464		120,722
				194,942
Retail-Gardening Products — 0.1%
Tractor Supply Co.		768		69,473
Retail-Restaurants — 0.4%
Chipotle Mexican Grill, Inc.†		111		52,278
Dunkin' Brands Group, Inc.		1,365		64,387
Starbucks Corp.		2,344		139,937
				256,602
Telecommunication Equipment — 0.1%
CommScope Holding Co., Inc.†		1,742		48,637
Television — 0.0%
ION Media Networks, Inc.†(1)(10)(11)		4		3,906
Tobacco — 0.2%
Altria Group, Inc.		1,854		116,172
Toys — 0.1%
Mattel, Inc.		1,378		46,328
Web Portals/ISP — 0.9%
Alphabet, Inc., Class C†		718		534,874

94

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares/ Principal Amount(8)		Value (Note 2)
COMMON STOCKS (continued)
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		597	$	45,193
Total Common Stocks (cost $8,713,186)				9,543,561
PREFERRED SECURITIES/CAPITAL SECURITIES — 2.2%
Banks-Commercial — 0.5%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/19/2019(2)(10)	EUR	200,000		210,170
Banco Santander SA FRS 6.25% due 03/12/2019(2)	EUR	100,000		101,965
				312,135
Building Societies — 0.4%
Nationwide Building Society FRS 6.88% due 06/20/2019(2)	GBP	175,000		235,006
Diversified Banking Institutions — 0.8%
Credit Suisse Group AG FRS 6.25% due 12/18/2024(2)		275,000		252,532
Societe Generale SA FRS 8.25% due 11/29/2018(2)		225,000		226,687
				479,219
Diversified Manufacturing Operations — 0.2%
General Electric Co. FRS Series D 5.00% due 01/21/2021(2)		118,000		121,540
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(10)		8,000		1
Insurance-Multi-line — 0.1%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		45,000		48,038
Insurance-Property/Casualty — 0.2%
ACE Capital Trust II 9.70% due 04/01/2030		80,000		112,240
Total Preferred Securities/ Capital Securities (cost $1,460,491)				1,308,179
ASSET BACKED SECURITIES — 30.6%
Diversified Financial Services — 30.6%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.60% due 01/25/2037(5)		106,211		102,722
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		7,000		7,046
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 2.07% due 07/27/2026*(3)		250,000		247,813
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.47% due 04/20/2023*(3)		188,222		187,430

Security Description	Principal Amount(8)		Value (Note 2)
Diversified Financial Services (continued)
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.01% due 10/25/2034(10)	$	4,925	$	4,568
Atrium XI FRS Series 11-A, Class B 2.77% due 10/23/2025*(3)		250,000		247,315
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.74% due 02/10/2051(4)		121,448		125,873
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(4)		235,000		239,765
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.66% due 02/25/2036(5)		210,782		187,438
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(4)		91,216		94,677
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.72% due 06/11/2040(4)		47,042		48,187
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		19,750		18,992
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		1,995		1,995
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1A 1.74% due 07/15/2025*		250,000		245,830
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.09% due 04/27/2027*(3)		250,000		248,113
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class B 3.07% due 10/15/2026*		250,000		252,042
Cent CLO, Ltd. FRS Series 2013-20A, Class A 2.10% due 01/25/2026*(3)		250,000		246,768
Cent CLO, Ltd. FRS Series 2015-23A, Class A1 2.11% due 04/17/2026*(3)		250,000		247,445
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 2.10% due 05/24/2026*(3)		250,000		248,050
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(4)		120,000		128,297

95

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(4)	$	75,000	$	81,904
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.14% due 12/10/2049(4)		38,284		40,064
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.04% due 03/25/2036(5)		115,589		109,789
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(4)		126,953		129,429
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(4)		144,323		150,565
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.10% due 12/10/2049(4)		91,222		95,279
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(4)		110,000		113,691
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(4)		155,000		162,938
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(4)		155,059		164,503
Commercial Mtg. Trust Series 2014-CR20, Class A4 3.59% due 11/10/2047(4)		90,000		95,824
Commercial Mtg. Trust VRS Series 2013-CR8, Class A5 3.61% due 06/10/2046(4)		50,000		53,602
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(4)		157,000		166,823
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(4)		155,000		164,766
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(4)		149,000		161,325
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(4)		75,000		81,947
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.23% due 07/10/2045(4)		60,109		67,252
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(4)		130,558		133,237

Security Description	Principal Amount(8)		Value (Note 2)
Diversified Financial Services (continued)
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.84% due 06/10/2046(4)	$	11,563	$	11,551
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(5)		4,347		4,360
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5)		79,945		73,899
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(5)		4,257		3,986
CPS Auto Receivables Trust Series 2012-D, Class A 1.48% due 03/16/2020*		18,699		18,602
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(4)		682		681
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(4)		40,472		40,775
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.90% due 06/15/2057(4)(6)		1,249,453		69,259
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(4)		161,000		171,743
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*(10)		40,523		41,469
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*		105,000		105,048
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class A 1.97% due 04/18/2026*(3)		250,000		247,480
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.43% due 05/25/2035(5)		190,276		170,521
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		32,588		32,540
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		25,000		24,993
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		190,000		189,237
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		6,000		6,012

96

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019	$	50,000	$	49,796
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		11,000		10,994
Galaxy XIX CLO, Ltd. FRS Series 2015-19A, Class A1A 2.17% due 01/24/2027*(3)		250,000		248,417
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(4)		160,000		162,899
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(4)		40,000		47,703
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(4)		100,000		106,448
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(4)		145,000		155,309
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(4)		125,000		135,023
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(4)		140,000		152,371
GS Mtg. Securities Trust Series 2014-GC18, Class A4 4.07% due 01/10/2047(4)		65,000		71,057
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.53% due 03/25/2037(10)		264,723		132,687
GSR Mtg. Loan Trust FRS Series 2006-AR2, Class 3A1 2.85% due 04/25/2036(5)		16,637		13,909
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.88% due 03/25/2047(5)		45,135		37,055
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.91% due 01/25/2036(5)		78,333		72,255
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.96% due 04/25/2035(5)		67,106		63,494
GTP Acquisition Partners I LLC Series 2015-2, CLASS A 3.48% due 06/15/2050*		160,000		162,160
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(4)		195,000		195,257
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.97% due 05/25/2035(5)		109,098		99,093

Security Description	Principal Amount(8)		Value (Note 2)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(4)	$	142,694	$	151,617
JP Morgan Chase Commercial Mtg. Securities Trust Series 2015-JP1, Class A5 3.91% due 01/15/2049(4)		119,000		128,777
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(4)		115,250		127,550
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(4)		179,914		182,644
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.70% due 02/12/2049(4)		111,646		114,692
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(4)		94,124		98,117
JPMBB Commercial Mtg. Securities Trust Series 2015-C28, Class A4 3.23% due 10/15/2048(4)		126,000		129,563
JPMBB Commercial Mtg. Securities Trust VRS Series 2015-C33, Class A4 3.77% due 12/15/2048(4)		145,000		155,415
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(4)		144,000		154,910
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(4)		45,000		49,933
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(4)		24,337		24,849
LB-UBS Commercial Mtg. Trust VRS Series 2006-C4, Class A4 5.86% due 06/15/2038(4)		36,929		36,923
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(4)		97,371		99,362
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.08% due 04/15/2041(4)		52,903		55,925
LSTAR Securities Investment Trust FRS Series 2015-2, Class A 2.43% due 01/01/2020*(5)		88,982		87,663

97

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
LSTAR Securities Investment Trust FRS Series 2015-4, Class A1 2.43% due 04/01/2020*(5)	$	176,553	$	171,256
LSTAR Securities Investment Trust FRS Series 2015-9, Class A1 2.44% due 10/01/2020*(5)		172,569		169,166
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class A1A 1.90% due 10/23/2025*(3)		250,000		246,963
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2 2.57% due 07/25/2026*(3)		250,000		245,428
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A2, Class A2 2.64% due 02/25/2035(5)		30,280		30,146
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.73% due 12/25/2034(5)		51,849		50,683
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(4)		128,264		130,660
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(4)		57,681		59,804
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.74% due 06/12/2050(4)		81,204		83,857
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.16% due 12/15/2047(4)(6)		357,169		22,143
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(4)		135,000		144,696
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(4)		25,000		27,390
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(4)		105,000		109,306
Morgan Stanley Capital I Trust Series 2006-IQ12, Class A4 5.33% due 12/15/2043(4)		159,461		160,849
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(4)		115,000		117,752
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(4)		67,529		70,368
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.27% due 01/11/2043(4)		58,769		62,320
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5)		50,572		44,889

Security Description	Principal Amount(8)		Value (Note 2)
Diversified Financial Services (continued)
MortgageIT Trust FRS Series 2005-4, Class A1 0.71% due 10/25/2035(5)	$	261,852	$	237,283
Nomura Asset Acceptance Corp Alternative Loan Trust FRS Series 2006-AF1, Class 3A1 3.56% due 06/25/2036(5)		158,145		116,931
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)		16,327		16,291
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		440,000		442,325
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.17% due 02/15/2026*(3)		250,000		248,662
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.15% due 04/17/2027*(3)		215,000		213,431
Ocwen Master Advance Receivables Trust Series 2015-1, Class AT1 2.54% due 09/17/2046*		135,000		134,925
OHA Credit Partners VII, Ltd. FRS Series 2012-7A, Class A 2.04% due 11/20/2023*(3)		200,000		200,050
OHA Loan Funding 2015-1, Ltd. FRS Series 2015-1A, Class A 2.12% due 02/15/2027*(3)		250,000		248,685
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		170,000		171,076
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.53% due 02/25/2037(10)		53,860		27,904
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 2.17% due 04/17/2026*(3)		250,000		248,937
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.07% due 04/30/2027*(3)		250,000		246,993
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 2.13% due 04/15/2027*(3)		250,000		247,023
RFMSI Series Trust FRS Series 2005-SA3, Class 1A 2.91% due 08/25/2035(5)		151,666		112,718
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(5)		2,805		2,766
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.56% due 05/25/2037(10)		132,605		84,885
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.69% due 02/20/2047(5)		136,111		115,188
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 2.15% due 04/15/2027*		250,000		248,223

98

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.68% due 11/25/2036(10)	$	195,000	$	128,245
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(10)		84,952		84,602
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		104,738		104,456
Springleaf Mtg. Loan Trust VRS Series 2013-2A, Class M1 3.52% due 12/25/2065*(5)		100,000		100,406
Thornburg Mtg. Securities Trust FRS Series 2005-1, Class A3 2.53% due 04/25/2045(5)		106,262		104,485
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 2.12% due 04/20/2027*(3)		250,000		247,793
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(4)		85,000		88,191
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 2.10% due 04/18/2027*(3)		250,000		247,615
Voya CLO, Ltd. FRS Series 2014-4A, Class A2A 3.02% due 10/14/2026*(3)		250,000		250,577
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.16% due 11/25/2046(5)		143,684		126,720
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.19% due 09/15/2057(4)(6)		997,615		70,723
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(4)		80,000		86,232
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.10% due 05/15/2048(4)		10,000		7,460
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.74% due 10/25/2036(5)		76,171		70,188
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.76% due 11/25/2034(5)		2,905		2,893
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.85% due 01/25/2035(5)		183,303		182,451
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.87% due 03/25/2035(5)		121,595		122,303
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		155,000		154,903
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.81% due 02/15/2044*(4)(6)		645,021		20,585
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(4)		95,000		101,477

Security Description	Principal Amount(8)		Value (Note 2)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(4)	$	145,000	$	158,114
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(4)		130,000		142,177
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(4)		60,000		65,887
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(4)		55,000		60,775
Total Asset Backed Securities (cost $17,830,167)				17,870,557
U.S. CORPORATE BONDS & NOTES — 24.4%
Advertising Agencies — 0.1%
Omnicom Group, Inc. Company Guar. Notes 3.60% due 04/15/2026		40,000		40,974
Aerospace/Defense — 0.1%
BAE Systems Holdings, Inc. Company Guar. Notes 2.85% due 12/15/2020*		15,000		15,238
Lockheed Martin Corp. Senior Notes 2.50% due 11/23/2020		25,000		25,607
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		15,000		16,772
				57,617
Agricultural Chemicals — 0.2%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		35,000		30,462
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		85,000		80,047
				110,509
Apparel Manufacturers — 0.1%
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		50,000		51,375
Applications Software — 0.2%
Microsoft Corp. Senior Notes 2.00% due 11/03/2020		40,000		40,982
Microsoft Corp. Senior Notes 2.65% due 11/03/2022		100,000		103,981
				144,963
Auto-Cars/Light Trucks — 1.0%
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		11,000		10,986

99

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto-Cars/Light Trucks (continued)
Ford Motor Credit Co. LLC Senior Notes 4.13% due 08/04/2025	$	200,000	$	208,119
General Motors Co. Senior Notes 6.60% due 04/01/2036		20,000		22,008
General Motors Co. Senior Notes 6.75% due 04/01/2046		10,000		11,368
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018		75,000		74,983
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		100,000		102,541
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		115,000		118,715
General Motors Financial Co., Inc. Company Guar. Notes 5.25% due 03/01/2026		30,000		31,378
				580,098
Banks-Commercial — 0.5%
Capital One NA Senior Notes 1.65% due 02/05/2018		250,000		248,199
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		70,000		72,415
				320,614
Banks-Fiduciary — 0.1%
Bank of New York Mellon Corp. Senior Notes 2.60% due 08/17/2020		50,000		51,203
Banks-Super Regional — 0.8%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		30,000		30,375
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		75,000		77,572
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		91,000		92,424
Wells Fargo & Co. Senior Notes 2.50% due 03/04/2021		20,000		20,253
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		155,000		166,368

Security Description	Principal Amount(8)		Value (Note 2)
Banks-Super Regional (continued)
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044	$	70,000	$	81,118
				468,110
Batteries/Battery Systems — 0.1%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		35,000		33,775
Brewery — 1.4%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		65,000		65,928
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.15% due 02/01/2019		15,000		15,328
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		250,000		259,906
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		80,000		86,456
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		270,000		301,742
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 2.50% due 07/15/2022		25,000		25,209
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		50,000		47,503
				802,072
Broadcast Services/Program — 0.1%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		55,000		56,375
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		70,000		74,025
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		14,000		15,400
Building-Heavy Construction — 0.4%
SBA Tower Trust Mtg. Notes 2.90% due 10/15/2044*		100,000		100,473

100

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building-Heavy Construction (continued)
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*	$	120,000	$	119,891
				220,364
Building-Residential/Commercial — 0.3%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		80,000		81,800
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		65,000		67,112
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		30,000		30,000
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,325
				184,237
Cable/Satellite TV — 1.9%
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		55,000		56,650
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		65,000		66,420
CCO Safari II LLC Senior Sec. Notes 4.46% due 07/23/2022*		55,000		57,490
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*		60,000		63,289
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		145,000		161,345
Comcast Corp. Company Guar. Notes 2.75% due 03/01/2023		90,000		93,003
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026		90,000		93,705
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		65,000		69,224
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		35,000		39,479
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		40,000		38,574
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		80,000		77,170
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,530

Security Description	Principal Amount(8)		Value (Note 2)
Cable/Satellite TV (continued)
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021	$	75,000	$	77,438
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		45,000		39,947
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		35,000		36,222
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		40,000		44,009
Time Warner Cable, Inc. Company Guar. Notes 8.75% due 02/14/2019		105,000		122,943
				1,140,438
Casino Hotels — 0.1%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Senior Notes 5.38% due 03/15/2022		40,000		40,338
Cellular Telecom — 0.2%
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		25,000		26,187
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		50,000		37,125
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		9,360
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		40,000		41,300
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		15,000		15,675
				129,647
Commercial Services-Finance — 0.1%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		35,000		34,562
Computer Services — 0.2%
Hewlett Packard Enterprise Co. Senior Notes 2.45% due 10/05/2017*		90,000		90,588
Computers — 0.1%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		50,000		45,158
Containers-Metal/Glass — 0.0%
Ball Corp. Company Guar. Notes 4.38% due 12/15/2020		5,000		5,203

101

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Containers-Metal/Glass (continued)
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.88% due 08/15/2023*	$	15,000	$	15,628
				20,831
Data Processing/Management — 0.1%
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		35,000		35,875
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.25% due 11/15/2024*		10,000		10,325
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*		10,000		10,525
				20,850
Diagnostic Equipment — 0.1%
Danaher Corp. Senior Notes 2.40% due 09/15/2020		35,000		36,135
Diversified Banking Institutions — 5.2%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		25,000		25,037
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		90,000		91,646
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		35,000		38,628
Bank of America Corp. Senior Notes 6.00% due 09/01/2017		35,000		36,990
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		200,000		229,975
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		125,000		137,253
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		4,000		4,578
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		110,000		109,470
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		50,000		50,986
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		200,000		201,249
Citigroup, Inc. Sub. Notes 4.60% due 03/09/2026		40,000		41,013

Security Description	Principal Amount(8)		Value (Note 2)
Diversified Banking Institutions (continued)
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045	$	90,000	$	94,251
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		60,000		65,659
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		50,000		50,643
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		20,000		20,165
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		40,000		40,581
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		40,000		40,703
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		175,000		176,633
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045		5,000		5,226
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		75,000		76,191
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		38,000		42,166
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		15,000		18,165
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		55,000		68,383
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		35,000		40,581
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		56,000		66,888
JPMorgan Chase & Co. Senior Notes 2.55% due 10/29/2020		65,000		65,876
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		75,000		76,804
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		15,000		15,644
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		135,000		140,418
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		55,000		60,099

102

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041	$	15,000	$	18,419
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		180,000		207,300
JPMorgan Chase & Co. Senior Notes 6.00% due 01/15/2018		110,000		118,465
Morgan Stanley Senior Notes 1.88% due 01/05/2018		105,000		105,334
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		80,000		80,085
Morgan Stanley Senior Notes 4.00% due 07/23/2025		50,000		52,282
Morgan Stanley Senior Notes 4.30% due 01/27/2045		15,000		15,094
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		52,000		53,512
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		10,000		10,834
Morgan Stanley Senior Notes 5.50% due 07/24/2020		100,000		112,431
Morgan Stanley Senior Notes 6.63% due 04/01/2018		100,000		109,253
				3,014,910
Electric-Integrated — 0.4%
AES Corp. Senior Notes 4.88% due 05/15/2023		3,000		2,888
AES Corp. Senior Notes 5.50% due 03/15/2024		5,000		4,887
AES Corp. Senior Notes 8.00% due 06/01/2020		60,000		68,100
Exelon Corp. Senior Notes 2.85% due 06/15/2020		70,000		71,435
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		80,000		101,569
				248,879
Entertainment Software — 0.1%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		75,000		78,844

Security Description	Principal Amount(8)		Value (Note 2)
Finance-Consumer Loans — 0.2%
Navient Corp. Senior Notes 5.50% due 01/15/2019	$	25,000	$	24,563
Navient Corp. Senior Notes 8.45% due 06/15/2018		50,000		53,562
Synchrony Financial Senior Notes 2.60% due 01/15/2019		70,000		70,150
				148,275
Finance-Credit Card — 0.2%
Visa, Inc. Senior Notes 2.80% due 12/14/2022		40,000		41,715
Visa, Inc. Senior Notes 4.30% due 12/14/2045		60,000		65,640
				107,355
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		10,000		10,983
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		10,000		722
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(10)		9,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(10)		11,000		1
				11,707
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		45,000		45,948
Financial Guarantee Insurance — 0.0%
Radian Group, Inc. Senior Notes 7.00% due 03/15/2021		10,000		10,355
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018*		25,000		25,232
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020*		30,000		30,814
				56,046
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		40,000		40,465
Funeral Services & Related Items — 0.1%
Service Corp. International Senior Notes 4.50% due 11/15/2020		40,000		41,300

103

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Funeral Services & Related Items (continued)
Service Corp. International Senior Notes 5.38% due 01/15/2022	$	10,000	$	10,450
				51,750
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		50,000		51,245
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Senior Sec. Notes 7.88% due 02/15/2021*		25,000		26,438
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		2,000		2,100
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		10,000		10,475
				12,575
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018		50,000		50,923
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		15,000		15,251
				66,174
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		10,000		10,225
Insurance-Mutual — 0.2%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		80,000		115,974
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		20,000		20,150
Machinery-Farming — 0.1%
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 11/06/2020		30,000		29,475
Medical Instruments — 0.1%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		40,000		41,392
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		25,000		27,066
				68,458

Security Description	Principal Amount(8)		Value (Note 2)
Medical Products — 0.3%
Stryker Corp. Senior Notes 2.63% due 03/15/2021	$	40,000	$	40,789
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		110,000		109,963
				150,752
Medical-Biomedical/Gene — 0.1%
Celgene Corp. Senior Notes 4.63% due 05/15/2044		20,000		20,376
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		35,000		36,984
				57,360
Medical-Drugs — 0.2%
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		75,000		76,554
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		15,000		15,388
				91,942
Medical-HMO — 0.7%
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		50,000		49,357
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		75,000		79,100
UnitedHealth Group, Inc. Senior Notes 1.70% due 02/15/2019		55,000		55,456
UnitedHealth Group, Inc. Senior Notes 2.13% due 03/15/2021		85,000		85,744
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		65,000		69,147
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		55,000		59,261
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		20,000		22,934
WellCare Health Plans, Inc. Senior Notes 5.75% due 11/15/2020		15,000		15,525
				436,524
Medical-Hospitals — 0.4%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		30,000		30,375

104

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Hospitals (continued)
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019	$	30,000	$	30,732
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		5,000		5,413
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,487
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		40,000		43,900
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		25,000		26,125
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		75,000		79,875
				226,907
Medical-Wholesale Drug Distribution — 0.1%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		30,000		30,140
Multimedia — 0.8%
21st Century Fox America, Inc. Company Guar. Notes 3.70% due 10/15/2025		40,000		41,883
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		100,000		120,284
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		135,000		163,622
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		120,000		153,433
				479,222
Networking Products — 0.2%
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		135,000		137,686
Oil Companies-Exploration & Production — 0.7%
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		80,000		80,704
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		40,000		40,837
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		15,000		16,236
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		15,000		13,800

Security Description	Principal Amount(8)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023	$	20,000	$	19,600
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026		25,000		25,996
Hess Corp. Senior Notes 5.60% due 02/15/2041		25,000		22,207
Hess Corp. Senior Notes 6.00% due 01/15/2040		25,000		23,034
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		75,000		79,385
Noble Energy, Inc. Senior Notes 4.15% due 12/15/2021		25,000		24,957
Pioneer Natural Resources Co. Senior Notes 3.95% due 07/15/2022		10,000		10,155
Pioneer Natural Resources Co. Senior Notes 4.45% due 01/15/2026		45,000		45,354
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		3,475
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		7,300
				413,040
Oil Companies-Integrated — 0.5%
ConocoPhillips Co. Company Guar. Notes 3.35% due 11/15/2024		30,000		28,981
ConocoPhillips Co. Company Guar. Notes 4.20% due 03/15/2021		50,000		52,216
ConocoPhillips Co. Company Guar. Notes 4.95% due 03/15/2026		50,000		52,197
Exxon Mobil Corp. Senior Notes 2.22% due 03/01/2021		55,000		55,974
Exxon Mobil Corp. Senior Notes 2.73% due 03/01/2023		45,000		45,767
Exxon Mobil Corp. Senior Notes 3.04% due 03/01/2026		25,000		25,586
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		55,000		46,673
				307,394

105

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Refining & Marketing — 0.0%
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024	$	10,000	$	9,825
Oil-Field Services — 0.1%
Halliburton Co. Senior Notes 2.70% due 11/15/2020		30,000		30,457
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		4,000		3,815
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		35,000		34,169
				37,984
Physicians Practice Management — 0.0%
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023*		5,000		5,200
Pipelines — 1.0%
DCP Midstream LLC Senior Notes 9.75% due 03/15/2019*		5,000		4,781
DCP Midstream Operating LP Company Guar. Notes 2.70% due 04/01/2019		5,000		4,467
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		10,000		8,212
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022		5,000		4,394
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		86,000		82,775
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		115,000		99,052
Kinder Morgan Energy Partners LP Company Guar. Notes 5.30% due 09/15/2020		15,000		15,626
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		5,000		5,326
Kinder Morgan Energy Partners LP Company Guar. Notes 6.85% due 02/15/2020		10,000		10,927
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		55,000		46,803
Magellan Midstream Partners LP Senior Notes 5.00% due 03/01/2026		15,000		16,221

Security Description	Principal Amount(8)		Value (Note 2)
Pipelines (continued)
MPLX LP Company Guar. Notes 4.50% due 07/15/2023*	$	5,000	$	4,611
MPLX LP Company Guar. Notes 4.88% due 12/01/2024*		20,000		18,465
MPLX LP Company Guar. Notes 4.88% due 06/01/2025*		10,000		9,118
Regency Energy Partners LP/Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		50,000		48,574
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		30,000		27,539
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019*		15,000		14,925
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		3,965
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022*		25,000		24,750
Williams Partners LP Senior Notes 3.60% due 03/15/2022		130,000		107,044
				557,575
Real Estate Investment Trusts — 0.8%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		85,000		87,137
American Tower Corp. Senior Notes 3.45% due 09/15/2021		45,000		46,014
HCP, Inc. Senior Notes 4.00% due 06/01/2025		60,000		57,660
HCP, Inc. Senior Notes 6.00% due 01/30/2017		50,000		51,650
Kimco Realty Corp. Senior Notes 3.40% due 11/01/2022		15,000		15,205
Liberty Property LP Senior Notes 3.38% due 06/15/2023		35,000		34,578
Liberty Property LP Senior Notes 4.13% due 06/15/2022		30,000		31,243

106

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020	$	35,000	$	36,702
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		50,000		54,990
Welltower, Inc. Senior Notes 5.25% due 01/15/2022		66,000		72,070
				487,249
Real Estate Operations & Development — 0.2%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		100,000		104,173
Rental Auto/Equipment — 0.2%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		45,000		57,397
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023		15,000		14,906
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		20,000		19,896
				92,199
Retail-Automobile — 0.1%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		30,000		29,700
Retail-Drug Store — 0.4%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		100,000		103,785
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		25,000		26,978
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		65,000		75,278
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		8,628		9,347
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		12,535		13,872
				229,260
Retail-Perfume & Cosmetics — 0.0%
Sally Holdings LLC/Sally Capital, Inc. Company Guar. Notes 5.63% due 12/01/2025		5,000		5,325

Security Description	Principal Amount(8)		Value (Note 2)
Retail-Restaurants — 0.0%
McDonald's Corp. Senior Notes 2.75% due 12/09/2020	$	25,000	$	25,893
Security Services — 0.1%
ADT Corp. Senior Notes 6.25% due 10/15/2021		40,000		40,200
Steel-Producers — 0.1%
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		10,000		10,100
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		15,000		15,187
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		35,000		27,300
				52,587
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		20,000		20,550
Telephone-Integrated — 1.1%
AT&T, Inc. Senior Notes 1.75% due 01/15/2018		50,000		50,159
AT&T, Inc. Senior Notes 2.40% due 03/15/2017		75,000		75,875
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		45,000		46,750
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		30,000		29,583
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		70,000		68,282
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*		10,000		10,250
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		109,000		108,454
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		60,000		60,657
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		26,000		26,044
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		121,000		116,160
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		52,000		52,168
				644,382

107

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Television — 0.2%
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026	$	15,000	$	15,668
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		85,000		88,740
				104,408
Tobacco — 0.1%
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		49,000		51,242
Transport-Rail — 0.2%
Kansas City Southern Company Guar. Notes 3.00% due 05/15/2023*		125,000		121,353
Union Pacific Corp. Senior Notes 2.75% due 03/01/2026		10,000		10,169
				131,522
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.25% due 04/01/2026		15,000		15,393
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		25,000		25,692
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		45,000		45,086
				86,171
Trucking/Leasing — 0.2%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		130,000		138,811
X-Ray Equipment — 0.0%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*		10,000		10,425
Total U.S. Corporate Bonds & Notes (cost $13,925,948)				14,247,486
FOREIGN CORPORATE BONDS & NOTES — 5.0%
Banks-Commercial — 1.9%
Bank of Nova Scotia Sub. Notes 4.50% due 12/16/2025		145,000		144,758
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		220,000		231,930
Barclays Bank PLC VRS Sub. Notes 7.75% due 04/10/2023		200,000		210,000

Security Description	Principal Amount(8)		Value (Note 2)
Banks-Commercial (continued)
BPCE SA Sub. Notes 5.15% due 07/21/2024*	$	200,000	$	204,285
Credit Suisse AG Sub. Notes 5.40% due 01/14/2020		131,000		141,983
Santander Issuances SAU Company Guar. Notes 5.18% due 11/19/2025		200,000		193,270
				1,126,226
Building Products-Wood — 0.1%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		35,000		34,475
Diversified Banking Institutions — 0.6%
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021		200,000		204,098
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		100,000		120,979
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		35,000		37,127
				362,204
Electric-Generation — 0.1%
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		75,000		77,325
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		5,000		5,215
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		3,000		3,259
				8,474
Insurance-Life/Health — 0.1%
Manulife Financial Corp. Senior Notes 4.15% due 03/04/2026		50,000		51,082
Medical-Generic Drugs — 0.7%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		190,000		192,245
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		155,000		159,372
Mylan NV Company Guar. Notes 3.00% due 12/15/2018*		25,000		25,343
Mylan NV Company Guar. Notes 3.75% due 12/15/2020*		30,000		30,695
				407,655

108

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Metal-Diversified — 0.0%
Rio Tinto Finance USA, Ltd. Company Guar. Notes 3.75% due 06/15/2025	$	10,000	$	9,746
Oil Companies-Exploration & Production — 0.2%
Encana Corp. Senior Notes 6.50% due 05/15/2019		90,000		89,802
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		45,000		27,337
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		3,540
				120,679
Oil Companies-Integrated — 0.9%
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		30,000		30,460
Cenovus Energy, Inc. Senior Notes 3.00% due 08/15/2022		10,000		8,891
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		55,000		44,910
Cenovus Energy, Inc. Senior Notes 5.70% due 10/15/2019		115,000		115,404
Ecopetrol SA Senior Notes 5.88% due 05/28/2045		40,000		31,488
Petrobras Global Finance BV Company Guar. Notes 5.38% due 10/01/2029(10)	GBP	100,000		89,108
Petroleos Mexicanos Company Guar. Notes 5.50% due 02/04/2019*		40,000		41,900
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		81,000		67,303
Petroleos Mexicanos Company Guar. Notes 6.38% due 02/04/2021*		20,000		21,330
Statoil ASA Company Guar. Notes 3.70% due 03/01/2024		10,000		10,445
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		55,000		52,419
				513,658
Paper & Related Products — 0.1%
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022*		5,000		4,809

Security Description	Principal Amount(8)		Value (Note 2)
Paper & Related Products (continued)
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*	$	25,000	$	23,594
				28,403
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		25,000		25,188
Tobacco — 0.1%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		55,000		56,560
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		39,173
Wireless Equipment — 0.1%
Nokia Oyj Senior Notes 6.63% due 05/15/2039		30,000		31,200
Total Foreign Corporate Bonds & Notes (cost $2,959,794)				2,892,048
MUNICIPAL BONDS & NOTES — 1.2%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		90,000		107,132
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		18,000		20,644
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058(10)		25,000		7,594
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(10)		250,000		75,938
Puerto Rico Commonwealth Government Employees Retirement System
Revenue Bonds Series A 6.20% due 07/01/2039(10)		110,000		33,413
State of California General Obligation Bonds 7.30% due 10/01/2039		5,000		7,331
State of California General Obligation Bonds 7.35% due 11/01/2039		5,000		7,360

109

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
State of California General Obligation Bonds 7.55% due 04/01/2039	$	110,000	$	168,414
State of California General Obligation Bonds 7.60% due 11/01/2040		5,000		7,774
State of California General Obligation Bonds 7.63% due 03/01/2040		45,000		68,867
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		15,000		14,027
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		75,000		79,038
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		105,000		116,699
Total Municipal Bonds & Notes (cost $734,369)				714,231
U.S. GOVERNMENT AGENCIES — 33.8%
Federal Home Loan Mtg. Corp. — 7.3%
2.12% due 02/01/2037 FRS		3,220		3,342
2.50% due 01/01/2028		9,434		9,733
2.50% due 04/01/2028		21,129		21,772
3.00% due 08/01/2027		13,820		14,477
3.00% due 10/01/2042		24,085		24,836
3.00% due 11/01/2042		8,492		8,709
3.00% due 02/01/2043		39,976		40,998
3.00% due 08/01/2043		80,245		82,584
3.00% due 04/01/2045		488,512		500,596
3.50% due 02/01/2042		11,105		11,640
3.50% due 03/01/2042		5,774		6,051
3.50% due 09/01/2043		41,339		43,536
3.50% due April TBA		750,000		785,070
3.50% due May TBA		250,000		261,221
4.00% due 03/01/2023		8,284		8,613
4.00% due 10/01/2043		18,285		19,534
4.00% due April TBA		600,000		640,359
4.50% due 01/01/2039		1,509		1,638
5.00% due 12/01/2020		2,335		2,497
5.00% due 07/01/2021		11,007		11,765
5.00% due 05/01/2034		18,011		20,118
5.50% due 07/01/2034		7,341		8,232
5.50% due 07/01/2035		10,301		11,598
5.50% due 04/01/2037		4,389		4,913
5.50% due 05/01/2037		4,094		4,586
5.50% due 08/01/2037		20,100		22,694
6.00% due 08/01/2036		3,671		4,155
6.50% due 05/01/2029		3,256		3,706
6.50% due 11/01/2034		4,223		4,807
6.50% due 05/01/2036		31		35
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2013-K502, Class B 2.64% due 03/25/2045*(4)		100,000		100,174

Security Description	Principal Amount(8)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Series 2014-K503, Class B 3.01% due 10/25/2047*(4)	$	90,000	$	89,668
Series 2012-K706, Class B 4.03% due 11/25/2044*(4)		75,000		77,006
Series 2010-K8, Class B 5.25% due 09/25/2043*(4)		100,000		108,784
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-DN1, Class M2 2.63% due 02/25/2024(5)		250,000		249,601
Series 2014-HQ1, Class M2 2.93% due 08/25/2024(5)		250,000		252,737
Series 2015-DNA2, Class M2 3.03% due 12/25/2027(5)		250,000		250,078
Series 2014-HQ3, Class M2 3.08% due 10/25/2024(5)		250,000		252,551
Series DNA3, Class M2 3.28% due 04/25/2028(5)		280,000		281,887
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(5)(10)		1,555		1,579
Series 1577, Class PK 6.50% due 09/15/2023(5)		11,749		12,847
Series 1226, Class Z 7.75% due 03/15/2022(5)		1,001		1,065
				4,261,792
Federal National Mtg. Assoc. — 19.9%
2.35% due 05/01/2037 FRS		5,329		5,573
2.50% due 02/01/2043		170,373		169,824
2.50% due 03/01/2043		170,732		170,181
2.50% due April TBA		200,000		205,313
2.58% due 10/01/2040 FRS		5,372		5,692
2.64% due 03/01/2027		39,280		39,739
2.66% due 03/01/2027		210,000		211,952
2.78% due 03/01/2027		76,000		77,624
2.97% due 06/01/2027		135,000		140,021
3.00% due 01/01/2028		19,342		20,253
3.00% due April TBA		3,200,000		3,295,625
3.50% due 08/01/2026		2,255		2,385
3.50% due 10/01/2028		33,816		35,733
3.50% due April TBA		3,700,000		3,879,363
4.00% due 11/01/2040		82,615		88,518
4.00% due 11/01/2041		4,612		4,941
4.00% due 10/01/2043		82,826		88,984
4.00% due 11/01/2043		11,593		12,386
4.00% due 12/01/2043		48,869		53,068
4.00% due April TBA		700,000		747,906
4.50% due 01/01/2039		3,995		4,344
4.50% due 06/01/2039		58,959		64,725
4.50% due 05/01/2041		12,012		13,067
4.50% due April TBA		800,000		870,500
5.00% due 03/01/2018		3,617		3,746
5.00% due 06/01/2019		1,702		1,765
5.00% due 07/01/2040		38,247		42,403
5.50% due 06/01/2020		66,120		70,046
5.50% due 07/01/2020		10,972		11,427

110

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
5.50% due 03/01/2021	$	25,960	$	27,833
5.50% due 04/01/2021		20,151		21,464
5.50% due 06/01/2021		62,107		66,599
5.50% due 10/01/2021		34,423		36,703
5.50% due 12/01/2021		67,671		71,502
5.50% due 06/01/2022		70,821		74,510
5.50% due 12/01/2029		2,216		2,483
5.50% due 05/01/2034		4,704		5,287
5.50% due 08/01/2037		11,511		12,958
5.50% due 06/01/2038		1,171		1,327
5.50% due April TBA		400,000		448,557
6.00% due 06/01/2017		911		929
6.00% due 06/01/2026		21,689		24,714
6.00% due 03/01/2027		26,455		30,145
6.00% due 12/01/2033		2,837		3,287
6.00% due 05/01/2034		11,793		13,575
6.00% due 08/01/2034		970		1,115
6.00% due 06/01/2040		6,733		7,692
6.00% due April TBA		300,000		342,149
6.50% due 08/01/2016		164		165
6.50% due 11/01/2035		9,104		10,874
6.50% due 10/01/2037		2,593		3,039
7.00% due 06/01/2037		26,178		32,271
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5)		10,339		10,361
				11,586,643
Government National Mtg. Assoc. — 6.6%
3.00% due April TBA		1,000,000		1,035,879
3.50% due April TBA		500,000		528,438
4.00% due 10/15/2040		31,426		33,809
4.00% due 02/15/2041		21,976		23,577
4.00% due 09/15/2041		21,991		23,580
4.00% due 10/15/2041		14,151		15,165
4.00% due April TBA		600,000		641,367
4.00% due May TBA		100,000		106,723
4.50% due 06/15/2041		291,864		317,937
5.00% due 01/15/2033		2,997		3,343
5.00% due 01/15/2040		57,115		64,368
5.00% due April TBA		700,000		771,859
5.50% due 04/15/2036		87,982		99,057
6.00% due 02/15/2033		18,239		20,582
6.50% due 07/15/2028		103,591		118,581
6.50% due 08/15/2028		6,386		7,361
6.50% due 09/15/2028		15,104		17,398
6.50% due 11/15/2028		19,356		22,367
7.00% due 01/15/2033		8,158		9,949
7.00% due 05/15/2033		11,734		14,318
7.00% due 11/15/2033		5,374		6,567
8.00% due 02/15/2030		1,954		2,232
8.50% due 11/15/2017		131		134
9.00% due 11/15/2021		210		237

Security Description	Principal Amount(8)		Value (Note 2)
Government National Mtg. Assoc. (continued)
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(5)	$	395	$	444
Series 2005-74, Class HB 7.50% due 09/16/2035(5)		3,898		4,560
Series 2005-74, Class HC 7.50% due 09/16/2035(5)		2,492		2,893
				3,892,725
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		12,000		12,231
Total U.S. Government Agencies (cost $19,547,455)				19,753,391
U.S. GOVERNMENT TREASURIES — 7.0%
United States Treasury Bonds — 1.1%
2.50% due 02/15/2045(12)		150,000		146,262
3.00% due 05/15/2045(15)		370,000		399,036
3.00% due 11/15/2045		97,000		104,718
				650,016
United States Treasury Notes — 5.9%
0.13% due 07/15/2024 TIPS(7)		1,157,355		1,161,334
0.25% due 01/15/2025 TIPS(7)		1,620,340		1,633,990
0.38% due 07/15/2025 TIPS(7)		604,389		617,587
				3,412,911
Total U.S. Government Treasuries (cost $3,935,521)				4,062,927
FOREIGN GOVERNMENT OBLIGATIONS — 2.8%
Sovereign — 2.8%
Brazil Letras do Tesouro Nacional Bills zero coupon due 04/01/2016	BRL	351,000		97,566
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2016(7)	BRL	923,458		256,964
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2022(7)	BRL	324,920		88,319
Government of Japan Senior Notes 0.10% due 08/15/2016	JPY	60,000,000		533,493
Government of Romania Bonds 5.80% due 07/26/2027	RON	330,000		99,615
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(7)	UYU	2,217,623		56,301
Oriental Republic of Uruguay Notes 4.25% due 04/05/2027(7)	UYU	3,064,295		89,321

111

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares/ Principal Amount(8)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Oriental Republic of Uruguay Senior Notes 4.38% due 12/15/2028(7)	UYU	768,031	$	22,628
Republic of Argentina Senior Notes 2.26% due 12/31/2038	EUR	75,000		49,840
Republic of Colombia Bonds 3.00% due 03/25/2033(7)	COP	167,923,256		47,683
Republic of Turkey Bonds 2.50% due 05/04/2016(7)	TRY	714,825		251,526
Republic of Venezuela Senior Notes 6.00% due 12/09/2020(10)		20,000		6,700
Total Foreign Government Obligations (cost $1,664,367)				1,599,956
OPTIONS — PURCHASED†(9)(10) — 0.0%
Put Options — Purchased (cost $3,814)		591,000		2,348
Total Long-Term Investment Securities (cost $70,775,112)				71,994,684
SHORT-TERM INVESTMENT SECURITIES — 0.5%
Commercial Paper — 0.5%
BNP Paribas SA 0.24% due 04/01/2016 (cost $300,000)		300,000		300,000
REPURCHASE AGREEMENTS — 1.0%
Bank of America Securities LLC Joint Repurchase Agreement(13)		155,000		155,000
Barclays Capital, Inc. Joint Repurchase Agreement(13)		65,000		65,000

Security Description	Principal Amount(8)			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
BNP Paribas SA Joint Repurchase Agreement(13)	$	130,000		$	130,000
Deutsche Bank AG Joint Repurchase Agreement(13)		130,000			130,000
RBS Securities, Inc. Joint Repurchase Agreement(13)		90,000			90,000
Total Repurchase Agreements (cost $570,000)					570,000
TOTAL INVESTMENTS (cost $71,645,112)(14)		124.9	%		72,864,684
Liabilities in excess of other assets		(24.9	)		(14,524,804	)
NET ASSETS		100.0	%	$	58,339,880

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2016, the aggregate value of these securities was $12,339,393 representing 21.2% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Perpetual maturity — maturity date reflects the next call date.

(3)  Collateralized Loan Obligation

(4)  Commercial Mortgage Backed Security

(5)  Collateralized Mortgage Obligation

(6)  Interest Only

(7)  Principal amount of security is adjusted for inflation.

(8)  Denominated in United States dollars unless otherwise indicated.

(9)  Options — Purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at March 31, 2016		Unrealized Appreciation (Depreciation)
Put option to sell Chinese Yuan in exchange for U.S. Dollars with Goldman Sachs International	April 2016	$	6.46	$	394,000	$	2,504	$	1,214	$	(1,290	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars with Goldman Sachs International	May 2016		6.47		197,000		1,310		1,134		(176	)
						$	3,814	$	2,348	$	(1,466	)

112

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

(10)  Illiquid security. At March 31, 2016, the aggregate value of these securities was $935,119 representing 1.6% of net assets.

(11)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2016, the Multi-Managed Income Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	03/05/2014		4	$	0	$	3,906	$	976.54		0.00	%

(12)  The security or a portion thereof was pledged as collateral to cover margin requirements for open future contracts.

(13)  See Note 2 for details of Joint Repurchase Agreements

(14)  See Note 4 for cost of investments on a tax basis.

(15)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

BRL — Brazilian Real

CLO — Collateralized Loan Obligation

COP — Colombian Peso

EUR — Euro Dollar

GBP — Pound Sterling

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TIPS — Treasury Inflation Protected Securities

TRY — Turkish Lira

UYU — Uruguayan Peso

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at March 31, 2016 and unless noted otherwise, the dates shown are the original maturity dates.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	8	Short	U.S. Treasury 2 Year Notes	June 2016	$	1,749,500	$	1,750,000	$	(500	)
	82	Long	U.S. Treasury 5 Year Notes	June 2016		9,946,030		9,935,453		(10,577	)
	93	Short	U.S. Treasury 10 Year Notes	June 2016		12,142,580		12,126,328		16,252
	1	Short	U.S. Treasury Long Bonds	June 2016		165,838		164,438		1,400
	5	Short	U.S. Treasury 10 Year Ultra Long Bonds	June 2016		701,099		703,750		(2,651	)
	9	Long	U.S. Treasury Ultra Long Bonds	June 2016		1,563,995		1,552,781		(11,214	)
									$	(7,290	)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	120,000	USD	129,009	03/15/2017	$	—	$	(9,259	)
	TRY	300,000	USD	101,781	06/15/2016		—		(2,545	)
	USD	42,199	THB	1,493,000	06/15/2016		170		—
	USD	101,862	TRY	300,000	06/15/2016		2,464		—
	USD	22,487	EUR	20,000	03/15/2017		558		—
							3,192		(11,804	)
Barclays Bank PLC	IDR	2,005,000,000	USD	150,086	04/01/2016		—		(1,121	)
	IDR	451,000,000	USD	31,244	05/18/2016		—		(2,897	)
	USD	150,582	IDR	2,005,000,000	04/01/2016		625		—
							625		(4,018	)
BNP Paribas SA	USD	51,260	ZAR	766,000	04/18/2016		482		—
	USD	24,347	ZAR	368,000	06/15/2016		227		—
							709		—

113

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Calyon Bank	PEN	27,000	USD	7,752	06/15/2016	$	—	$	(318	)
Citibank N.A.	EUR	281,000	USD	314,988	04/29/2016		—		(5,002	)
	USD	39,252	UYU	1,245,000	04/04/2016		22		—
	USD	49,950	EUR	45,000	03/15/2017		1,900		—
	UYU	1,245,000	USD	38,308	04/04/2016		—		(967	)
							1,922		(5,969	)
Credit Suisse International	TRY	719,778	USD	248,178	05/04/2016		—		(4,895	)
Deutsche Bank AG	CNY	290,000	USD	44,006	07/28/2016		—		(566	)
	IDR	489,000,000	USD	35,824	09/21/2016		—		(309	)
							—		(875	)
Goldman Sachs International	BRL	274,000	USD	76,990	04/04/2016		787		—
	BRL	320,000	USD	84,629	07/05/2016		—		(2,146	)
	CNY	80,000	USD	12,167	07/28/2016		—		(129	)
	IDR	2,005,000,000	USD	153,053	04/01/2016		1,847		—
	USD	150,086	IDR	2,005,000,000	04/01/2016		1,121		—
	USD	74,225	BRL	274,000	04/04/2016		1,979		—
	USD	57,670	IDR	891,000,000	05/18/2016		9,779		—
	USD	144,408	IDR	1,956,000,000	09/21/2016		123		—
	ZAR	368,000	USD	22,342	06/15/2016		—		(2,232	)
							15,636		(4,507	)
HSBC Bank USA	IDR	978,000,000	USD	72,044	09/21/2016		—		(221	)
	USD	155,151	UYU	4,980,000	04/04/2016		1,947		—
	UYU	4,980,000	USD	154,380	04/04/2016		—		(2,717	)
	UYU	4,980,000	USD	148,798	06/30/2016		—		(3,216	)
							1,947		(6,154	)
JPMorgan Chase Bank	GBP	169,000	USD	239,076	04/29/2016		—		(3,669	)
	IDR	440,000,000	USD	30,397	05/18/2016		—		(2,911	)
	PEN	68,000	USD	19,560	06/15/2016		—		(764	)
	RON	405,000	USD	101,071	06/15/2016		—		(2,139	)
	USD	59,021	CNY	370,000	07/28/2016		—		(2,152	)
	USD	5,606	EUR	5,000	04/29/2016		87		—
	USD	39,252	UYU	1,245,000	04/04/2016		22		—
	UYU	1,245,000	USD	38,296	04/04/2016		—		(979	)
							109		(12,614	)
Morgan Stanley and Co., Inc.	BRL	579,000	USD	146,092	04/04/2016		—		(14,936	)
	BRL	345,000	USD	87,860	04/06/2016		—		(8,032	)
	BRL	915,000	USD	242,590	08/17/2016		—		(2,378	)
	JPY	60,059,000	USD	535,133	08/15/2016		—		(799	)
	USD	160,142	BRL	579,000	04/04/2016		886		—
	USD	68,823	THB	2,436,000	06/15/2016		306		—
							1,192		(26,145	)
Royal Bank of Canada	USD	25,212	MXN	441,000	06/15/2016		149		—
Standard Chartered Bank	IDR	489,000,000	USD	35,877	09/21/2016		—		(256	)
	MXN	529,000	USD	29,257	06/15/2016		—		(1,165	)
	THB	3,929,000	USD	109,994	06/15/2016		—		(1,503	)
							—		(2,924	)

114

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
State Street Bank and Trust Co.	PEN	2,000	USD	580	06/15/2016	$	—	$	(18	)
	USD	5,024	MXN	88,000	06/15/2016		37		—
	USD	28,588	PEN	97,000	06/15/2016		403		—
	ZAR	766,000	USD	47,762	04/18/2016		—		(3,980	)
							440		(3,998	)
UBS AG	USD	63,064	EUR	55,000	03/15/2017		310		—
Westpac Banking Corp.	GBP	64,000	USD	91,003	06/15/2016		—		(938	)
Net Unrealized Appreciation(Depreciation)						$	26,231	$	(85,159	)

BRL — Brazilian Real
CNY — Chinese Yuan
EUR — Euro Dollar
GBP — Pound Sterling
IDR — Indonesian Rupiah
JPY — Japanese Yen
MXN — Mexican Peso
PEN — Peruvian Nuevo Sol
RON — Romanian Lue
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio	Payments Made by the Portfolio			Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	545	06/15/2026	3 month LIBOR		1.78	%	$	—	$	(4,897	)
USD	549	06/15/2026	3 month LIBOR		1.79	%		—		(5,193	)
									$	(10,090	)

Over the Counter Cross-Currency Interest Rate Swap Contracts

Swap Counterparty	Receive	Pay	Termination Date		Notional Amount of Currency Received (000's)		Notional Amount of Currency Delivered (000's)	Unrealized Appreciation (Depreciation)
Goldman Sachs International	3.30% based on the notional amount of currency received	3 Month LIBOR based on the notional amount of currency delivered		09/21/2021	CNY	700	$107	$5,498

CNY — Chinese Yuan

LIBOR — London Interbank Offered Rate

USD — United States Dollar

115

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Television	$	—	$	—	$	3,906	$	3,906
Other Industries		9,539,655		—		—		9,539,655
Preferred Securities/Capital Securities		—		1,308,179		—		1,308,179
Asset Backed Securities:		—		17,870,557		—		17,870,557
U.S. Corporate Bonds & Notes		—		14,247,486		—		14,247,486
Foreign Corporate Bonds & Notes		—		2,892,048		—		2,892,048
Municipal Bond & Notes		—		714,231		—		714,231
U.S. Government Agencies		—		19,753,391		—		19,753,391
U.S. Government Treasuries		—		4,062,927		—		4,062,927
Foreign Government Obligations		—		1,599,956		—		1,599,956
Options - Purchased		—		2,348		—		2,348
Short-Term Securities		—		300,000		—		300,000
Repurchase Agreements		—		570,000		—		570,000
Total Investments at Value	$	9,539,655	$	63,321,123	$	3,906	$	72,864,684
Other Financial Instruments:†
Futures Contracts	$	17,652	$	—	$	—	$	17,652
Forward Foreign Currency Contracts		—		26,231		—		26,231
Over the Counter Cross-Currency Interest Rate Swaps Contracts		—		5,498		—		5,498
Total Other Financial Instruments	$	17,652	$	31,729	$	—	$	49,381
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	24,942	$	—	$	—	$	24,942
Forward Foreign Currency Contracts		—		85,159		—		85,159
Centrally Cleared Interest Rate Swaps Contracts		—		10,090		—		10,090
Total Other Financial Instruments	$	24,942	$	95,249	$	—	$	120,191

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

116

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Diversified Banking Institutions	4.1	%
Repurchase Agreements	3.7
Medical-Drugs	3.5
Medical-Biomedical/Gene	3.2
Applications Software	2.9
Computers	2.7
Retail-Building Products	2.6
Telephone-Integrated	2.5
Real Estate Investment Trusts	2.3
Beverages-Non-alcoholic	2.2
Diversified Financial Services	2.0
Federal National Mtg. Assoc.	1.9
Electric-Integrated	1.9
Banks-Commercial	1.9
Aerospace/Defense	1.8
Oil-Field Services	1.7
Medical-Wholesale Drug Distribution	1.7
E-Commerce/Products	1.6
Insurance-Life/Health	1.5
Oil Companies-Exploration & Production	1.5
United States Treasury Notes	1.4
Insurance-Multi-line	1.4
Chemicals-Diversified	1.4
Retail-Discount	1.2
Electronic Components-Semiconductors	1.2
Web Portals/ISP	1.2
Food-Misc./Diversified	1.2
Airlines	1.2
Auto/Truck Parts & Equipment-Original	1.2
Computer Services	1.0
Broadcast Services/Program	1.0
Medical-HMO	0.9
Cosmetics & Toiletries	0.9
Retail-Restaurants	0.9
Real Estate Management/Services	0.9
Oil Companies-Integrated	0.8
Transport-Services	0.8
Finance-Consumer Loans	0.7
Oil Refining & Marketing	0.7
Semiconductor Components-Integrated Circuits	0.7
Tobacco	0.7
Food-Retail	0.7
Telecommunication Equipment	0.7
Machinery-General Industrial	0.6
Containers-Paper/Plastic	0.6
Multimedia	0.6
Television	0.6
Electronics-Military	0.6
Disposable Medical Products	0.5
Containers-Metal/Glass	0.5
Gas-Distribution	0.5
Auto-Cars/Light Trucks	0.5
Banks-Super Regional	0.5
Insurance-Reinsurance	0.5
Banks-Fiduciary	0.5
Electric-Distribution	0.5
Cellular Telecom	0.5
Athletic Footwear	0.5
Aerospace/Defense-Equipment	0.5
Office Automation & Equipment	0.5

Building-Heavy Construction	0.5	%
Diversified Manufacturing Operations	0.5
Building Products-Wood	0.4
Finance-Investment Banker/Broker	0.4
Commercial Services-Finance	0.4
Real Estate Operations & Development	0.4
Apparel Manufacturers	0.4
Electronic Measurement Instruments	0.4
Consumer Products-Misc.	0.4
Insurance-Property/Casualty	0.4
United States Treasury Bonds	0.4
Agricultural Operations	0.4
U.S. Government Treasuries	0.4
Building-Residential/Commercial	0.4
Retail-Apparel/Shoe	0.4
Radio	0.3
Commercial Services	0.3
Cable/Satellite TV	0.3
Electronic Components-Misc.	0.3
Non-Hazardous Waste Disposal	0.3
Investment Management/Advisor Services	0.3
Paper & Related Products	0.3
Semiconductor Equipment	0.3
Networking Products	0.3
Brewery	0.3
Medical-Hospitals	0.3
Distribution/Wholesale	0.3
Beverages-Wine/Spirits	0.3
Pipelines	0.2
Printing-Commercial	0.2
Internet Application Software	0.2
Steel-Producers	0.2
Building Products-Cement	0.2
Home Furnishings	0.2
E-Commerce/Services	0.2
Human Resources	0.2
Retail-Catalog Shopping	0.2
Building & Construction Products-Misc.	0.2
X-Ray Equipment	0.2
Resorts/Theme Parks	0.2
Data Processing/Management	0.2
Building & Construction-Misc.	0.2
Medical Products	0.2
Telecom Services	0.2
Chemicals-Specialty	0.2
Auction Houses/Art Dealers	0.2
Transport-Rail	0.2
Diversified Operations	0.2
Finance-Leasing Companies	0.2
Coatings/Paint	0.2
Rubber-Tires	0.2
Investment Companies	0.2
Electronic Security Devices	0.2
Medical-Outpatient/Home Medical	0.2
Independent Power Producers	0.2
Casino Hotels	0.2
Electric Products-Misc.	0.2
Metal-Diversified	0.2
Theaters	0.2
Private Equity	0.1

117

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Medical Instruments	0.1	%
Enterprise Software/Service	0.1
Engineering/R&D Services	0.1
Machinery-Electrical	0.1
Energy-Alternate Sources	0.1
Publishing-Newspapers	0.1
Transport-Marine	0.1
Batteries/Battery Systems	0.1
Retail-Hypermarkets	0.1
Computers-Memory Devices	0.1
Schools	0.1
Finance-Mortgage Loan/Banker	0.1
Computers-Integrated Systems	0.1
Finance-Auto Loans	0.1
Travel Services	0.1
Food-Meat Products	0.1
Retail-Major Department Stores	0.1
Retail-Regional Department Stores	0.1
Federal Home Loan Mtg. Corp.	0.1
Savings & Loans/Thrifts	0.1
Rubber/Plastic Products	0.1
Hotels/Motels	0.1
Wireless Equipment	0.1
Finance-Other Services	0.1
Rental Auto/Equipment	0.1
Shipbuilding	0.1
Soap & Cleaning Preparation	0.1
Racetracks	0.1
Electric-Transmission	0.1
Retail-Drug Store	0.1
Machinery-Construction & Mining	0.1
Security Services	0.1
Municipal Bonds & Notes	0.1
Agricultural Chemicals	0.1
Power Converter/Supply Equipment	0.1
Gambling (Non-Hotel)	0.1
Entertainment Software	0.1
Advertising Agencies	0.1
Garden Products	0.1
Petrochemicals	0.1
Electric-Generation	0.1
Chemicals-Plastics	0.1
Transactional Software	0.1
Tools-Hand Held	0.1
Firearms & Ammunition	0.1
MRI/Medical Diagnostic Imaging	0.1
Audio/Video Products	0.1
Environmental Consulting & Engineering	0.1
Insurance-Mutual	0.1
Consulting Services	0.1
Drug Delivery Systems	0.1
Recreational Vehicles	0.1
Retail-Petroleum Products	0.1
Metal Processors & Fabrication	0.1
Publishing-Periodicals	0.1
Medical-Generic Drugs	0.1
Sugar	0.1
Internet Connectivity Services	0.1
Airport Development/Maintenance	0.1
Instruments-Controls	0.1

Computer Software	0.1	%
Building Products-Air & Heating	0.1
	101.6	%

*  Calculated as a percentage of net assets

118

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 83.6%
Advertising Agencies — 0.1%
WPP PLC		3,091	$	72,230
Advertising Sales — 0.0%
Stroeer SE & Co. KGaA		157		9,870
Aerospace/Defense — 1.8%
BAE Systems PLC		2,757		20,155
Boeing Co.		11,100		1,409,034
Cubic Corp.		1,165		46,553
General Dynamics Corp.		1,400		183,918
Northrop Grumman Corp.		300		59,370
Raytheon Co.		3,000		367,890
Spirit AeroSystems Holdings, Inc., Class A†		4,000		181,440
Thales SA		200		17,524
				2,285,884
Aerospace/Defense-Equipment — 0.4%
Airbus Group SE		936		62,147
B/E Aerospace, Inc.		4,000		184,480
Orbital ATK, Inc.		2,472		214,916
				461,543
Agricultural Chemicals — 0.1%
Incitec Pivot, Ltd.		24,232		59,255
Yara International ASA		748		28,149
				87,404
Agricultural Operations — 0.4%
Adecoagro SA†		4,031		46,558
Andersons, Inc.		635		19,946
Bunge, Ltd.		6,900		391,023
Golden Agri-Resources, Ltd.		50,900		15,483
				473,010
Airlines — 1.2%
Allegiant Travel Co.		185		32,941
ANA Holdings, Inc.		21,000		59,168
Delta Air Lines, Inc.		23,100		1,124,508
easyJet PLC		617		13,461
International Consolidated Airlines Group SA		7,738		61,724
International Consolidated Airlines Group SA		2,636		20,955
Japan Airlines Co., Ltd.		900		32,963
Qantas Airways, Ltd.		16,290		50,822
Ryanair Holdings PLC ADR		848		72,775
Turk Hava Yollari AO†		9,886		27,331
				1,496,648
Airport Development/Maintenance — 0.1%
Aena SA†*		54		6,971
Grupo Aeroportuario del Pacifico SAB de CV, Class B		3,755		33,425
TAV Havalimanlari Holding AS		4,153		24,775
				65,171
Apparel Manufacturers — 0.4%
Carter's, Inc.		4,300		453,134
G-III Apparel Group, Ltd.†		1,241		60,673

Security Description	Shares		Value (Note 2)
Apparel Manufacturers (continued)
Oxford Industries, Inc.		423	$	28,438
				542,245
Appliances — 0.0%
Coway Co., Ltd.		641		54,089
Applications Software — 2.9%
inContact, Inc.†		2,780		24,714
Intuit, Inc.		6,700		696,867
Microsoft Corp.		51,372		2,837,276
Nuance Communications, Inc.†		8,000		149,520
Verint Systems, Inc.†		527		17,591
				3,725,968
Athletic Footwear — 0.5%
NIKE, Inc., Class B		9,600		590,112
Yue Yuen Industrial Holdings, Ltd.		5,500		18,930
				609,042
Auction Houses/Art Dealers — 0.2%
KAR Auction Services, Inc.		5,800		221,212
Audio/Video Products — 0.1%
Panasonic Corp.		700		6,428
Skyworth Digital Holdings, Ltd.		109,953		68,036
				74,464
Auto-Cars/Light Trucks — 0.3%
Daimler AG		107		8,203
Fiat Chrysler Automobiles NV		10,555		85,275
Fuji Heavy Industries, Ltd.		4,000		141,277
Kia Motors Corp.		782		33,028
Mazda Motor Corp.		4,300		66,728
Nissan Motor Co., Ltd.		1,200		11,105
Peugeot SA†		486		8,328
Renault SA		240		23,847
Suzuki Motor Corp.		600		16,052
Toyota Motor Corp.		100		5,289
Volkswagen AG (Preference Shares)		169		21,509
				420,641
Auto-Heavy Duty Trucks — 0.0%
Hino Motors, Ltd.		1,700		18,383
Auto-Truck Trailers — 0.0%
Wabash National Corp.†		3,976		52,483
Auto/Truck Parts & Equipment-Original — 1.1%
Allison Transmission Holdings, Inc.		14,700		396,606
American Axle & Manufacturing Holdings, Inc.†		2,133		32,827
Cooper-Standard Holding, Inc.†		651		46,768
JTEKT Corp.		1,400		18,162
Lear Corp.		4,200		466,914
Miller Industries, Inc.		988		20,037
Mobileye NV†		362		13,499
S&T Motiv Co., Ltd.		660		39,879
Tenneco, Inc.†		440		22,664
Valeo SA		431		67,091

119

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Auto/Truck Parts & Equipment-Original (continued)
Visteon Corp.		2,984	$	237,497
				1,361,944
Auto/Truck Parts & Equipment-Replacement — 0.0%
Douglas Dynamics, Inc.		580		13,288
Banks-Commercial — 1.6%
Abu Dhabi Commercial Bank PJSC		25,626		46,745
Access National Corp.		772		15,309
Banco Santander SA		10,521		46,379
Bank Hapoalim BM		9,003		46,738
Bank of China, Ltd.		186,000		77,207
Bank of Ireland†		19,573		5,679
Bank of Queensland, Ltd.		1,089		10,117
Cardinal Financial Corp.		1,582		32,194
Citizens & Northern Corp.		1,003		19,940
Commercial International Bank Egypt SAE GDR		9,808		34,818
Commonwealth Bank of Australia		494		28,370
Customers Bancorp, Inc.†		2,021		47,756
Danske Bank A/S		197		5,565
DNB ASA		308		3,642
East West Bancorp, Inc.		1,180		38,326
Farmers Capital Bank Corp.		703		18,573
FCB Financial Holdings, Inc.†		1,487		49,458
Fidelity Southern Corp.		2,090		33,524
Financial Institutions, Inc.		1,033		30,029
First BanCorp†		14,121		41,233
First Community Bancshares, Inc.		984		19,523
FirstMerit Corp.		1,218		25,639
Fukuoka Financial Group, Inc.		6,000		19,566
Grupo Financiero Banorte SAB de CV, Class O		22,659		128,409
Hanmi Financial Corp.		2,051		45,163
Heartland Financial USA, Inc.		694		21,368
Horizon Bancorp		755		18,664
ING Groep NV CVA		2,482		30,022
MainSource Financial Group, Inc.		1,519		32,036
Metro Bank PLC†(2)		777		20,980
Opus Bank		883		30,022
PacWest Bancorp		402		14,934
Peoples Bancorp, Inc.		960		18,758
Permanent TSB Group Holdings PLC†		6,948		21,513
Popular, Inc.		5,512		157,698
Regions Financial Corp.		25,400		199,390
Renasant Corp.		871		28,665
Republic Bancorp, Inc., Class A		627		16,195
Resona Holdings, Inc.		26,500		94,561
Sberbank of Russia PJSC ADR		16,637		115,794
Shinsei Bank, Ltd.		3,000		3,918
Skandinaviska Enskilda Banken AB, Class A		508		4,853
Sumitomo Mitsui Financial Group, Inc.		5,100		154,616

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
Sumitomo Mitsui Trust Holdings, Inc.		17,000	$	49,786
Swedbank AB, Class A		245		5,278
Talmer Bancorp, Inc., Class A		1,637		29,613
Turkiye Garanti Bankasi AS		13,957		40,814
United Community Banks, Inc.		1,006		18,581
Virgin Money Holdings UK PLC		4,556		24,139
Western Alliance Bancorp†		1,004		33,514
Woori Bank		1,814		15,006
				2,070,620
Banks-Fiduciary — 0.4%
Bank of New York Mellon Corp.		8,500		313,055
State Street Corp.		4,000		234,080
				547,135
Banks-Super Regional — 0.4%
Wells Fargo & Co.		10,956		529,832
Batteries/Battery Systems — 0.1%
Energizer Holdings, Inc.		2,300		93,173
EnerSys		1,159		64,579
				157,752
Beverages-Non-alcoholic — 2.2%
Coca-Cola Amatil, Ltd.		21,554		146,056
Coca-Cola Enterprises, Inc.		8,800		446,512
Dr Pepper Snapple Group, Inc.		10,600		947,852
Fomento Economico Mexicano SAB de CV ADR		476		45,844
Grape King Bio, Ltd.		8,000		45,861
PepsiCo, Inc.		11,700		1,199,016
				2,831,141
Beverages-Wine/Spirits — 0.1%
Vina Concha y Toro SA		41,951		72,893
Bicycle Manufacturing — 0.0%
Samchuly Bicycle Co, Ltd.		1,792		29,459
Brewery — 0.2%
Anheuser-Busch InBev NV ADR		412		51,360
Anheuser-Busch InBev SA/NV		551		68,498
Heineken Holding NV		269		20,992
Heineken NV		679		61,540
Molson Coors Brewing Co., Class B		108		10,388
SABMiller PLC		340		20,783
				233,561
Broadcast Services/Program — 0.9%
Discovery Communications, Inc., Class A†		38,557		1,103,887
Global Mediacom Tbk PT		129,700		11,786
MSG Networks, Inc., Class A†		2,800		48,412
Nexstar Broadcasting Group, Inc., Class A		465		20,586
				1,184,671
Building & Construction Products-Misc. — 0.1%
Caesarstone Sdot-Yam, Ltd.†		1,167		40,086
Cie de Saint-Gobain		117		5,156

120

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building & Construction Products-Misc. (continued)
LIXIL Group Corp.		300	$	6,118
Patrick Industries, Inc.†		1,279		58,054
Trex Co., Inc.†		276		13,229
				122,643
Building & Construction-Misc. — 0.2%
China Communications Construction Co., Ltd., Class H		35,000		41,780
China State Construction International Holdings, Ltd.		36,000		53,647
CIMIC Group, Ltd.		1,130		30,109
Dycom Industries, Inc.†		1,410		91,185
LendLease Group		1,359		14,449
				231,170
Building Products-Cement — 0.2%
Boral, Ltd.		7,166		33,947
Cemex Latam Holdings SA†		13,068		56,183
Cemex SAB de CV ADR†		9,030		65,739
Continental Building Products, Inc.†		2,527		46,901
CRH PLC		168		4,747
LafargeHolcim, Ltd.†(1)(2)		287		13,500
US Concrete, Inc.†		700		41,706
				262,723
Building Products-Doors & Windows — 0.0%
PGT, Inc.†		5,256		51,719
Building Products-Wood — 0.4%
Masco Corp.		17,700		556,665
Building-Heavy Construction — 0.4%
ACS Actividades de Construccion y Servicios SA		1,617		48,189
Boskalis Westminster NV		984		38,680
Chicago Bridge & Iron Co. NV		914		33,443
MasTec, Inc.†		3,716		75,212
Promotora y Operadora de Infraestructura SAB de CV		3,914		51,878
Vinci SA		2,789		207,776
				455,178
Building-Mobile Home/Manufactured Housing — 0.0%
Thor Industries, Inc.		900		57,393
Building-Residential/Commercial — 0.1%
Persimmon PLC		2,959		88,610
Sekisui Chemical Co., Ltd.		1,200		14,778
Taylor Wimpey PLC		16,595		45,357
				148,745
Cable/Satellite TV — 0.1%
Liberty Global PLC, Class C†		163		6,122
Numericable-SFR SA		579		24,371
Sky PLC		9,709		142,792
				173,285
Casino Hotels — 0.0%
MGM China Holdings, Ltd.		11,200		17,065
SJM Holdings, Ltd.		26,000		18,468
				35,533

Security Description	Shares		Value (Note 2)
Casino Services — 0.0%
Aristocrat Leisure, Ltd.		5,741	$	45,328
Cellular Telecom — 0.3%
China Mobile, Ltd.		19,000		211,619
NTT DOCOMO, Inc.		4,200		95,255
Vodafone Group PLC		25,387		80,654
				387,528
Chemicals-Diversified — 1.3%
Aceto Corp.		695		16,374
Akzo Nobel NV		462		31,490
Asahi Kasei Corp.		3,000		20,283
BASF SE		2,715		204,827
Dow Chemical Co.		415		21,107
Evonik Industries AG		1,445		43,351
Hitachi Chemical Co., Ltd.		900		16,193
Innophos Holdings, Inc.		564		17,433
Innospec, Inc.		750		32,520
Kuraray Co., Ltd.		2,300		28,120
LyondellBasell Industries NV, Class A		13,200		1,129,656
Mitsubishi Chemical Holdings Corp.		3,500		18,270
Mitsubishi Gas Chemical Co., Inc.		3,000		16,154
Nitto Denko Corp.		500		27,798
Orion Engineered Carbons SA		1,665		23,510
				1,647,086
Chemicals-Other — 0.0%
American Vanguard Corp.		2,792		44,058
Chemicals-Plastics — 0.1%
EMS-Chemie Holding AG		129		66,878
Chemicals-Specialty — 0.1%
Cabot Corp.		1,570		75,878
Kraton Performance Polymers, Inc.†		728		12,595
Minerals Technologies, Inc.		771		43,831
				132,304
Coatings/Paint — 0.2%
Axalta Coating Systems, Ltd.†		6,700		195,640
Nippon Paint Holdings Co., Ltd.		600		13,312
				208,952
Commercial Services — 0.3%
Live Nation Entertainment, Inc.†		733		16,353
Quanta Services, Inc.†		11,700		263,952
ServiceMaster Global Holdings, Inc.†		4,200		158,256
				438,561
Commercial Services-Finance — 0.4%
Cardtronics, Inc.†		978		35,198
Global Payments, Inc.		7,900		515,870
				551,068
Computer Aided Design — 0.0%
Aspen Technology, Inc.†		586		21,172

121

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computer Services — 1.0%
Amdocs, Ltd.		6,700	$	404,814
Atos SE		879		71,595
CACI International, Inc., Class A†		243		25,928
Computer Sciences Corp.		10,788		370,999
CSRA, Inc.		1,300		34,970
Leidos Holdings, Inc.		7,700		387,464
Manhattan Associates, Inc.†		417		23,715
MAXIMUS, Inc.		364		19,161
				1,338,646
Computer Software — 0.1%
Apigee Corp.†		1,762		14,642
Blackbaud, Inc.		503		31,634
RIB Software AG		1,158		12,030
				58,306
Computers — 2.7%
Apple, Inc.		32,122		3,500,977
Lenovo Group, Ltd.		6,000		4,687
				3,505,664
Computers-Integrated Systems — 0.1%
Fujitsu, Ltd.		4,000		14,806
MTS Systems Corp.		243		14,787
NCR Corp.†		2,323		69,527
NetScout Systems, Inc.†		212		4,870
Otsuka Corp.		300		15,834
VeriFone Systems, Inc.†		683		19,288
				139,112
Computers-Memory Devices — 0.1%
Brocade Communications Systems, Inc.		13,800		146,004
Computers-Periphery Equipment — 0.0%
Lexmark International, Inc., Class A		499		16,682
Consulting Services — 0.1%
CEB, Inc.		271		17,542
ICF International, Inc.†		1,631		56,057
				73,599
Consumer Products-Misc. — 0.4%
Clorox Co.		3,700		466,422
Containers-Metal/Glass — 0.5%
Crown Holdings, Inc.†		12,500		619,875
Owens-Illinois, Inc.†		1,335		21,307
				641,182
Containers-Paper/Plastic — 0.5%
Amcor, Ltd.		6,760		74,360
Berry Plastics Group, Inc.†		1,314		47,501
Graphic Packaging Holding Co.		12,700		163,195
KapStone Paper and Packaging Corp.		1,740		24,099
Sealed Air Corp.		7,800		374,478
				683,633

Security Description	Shares		Value (Note 2)
Cosmetics & Toiletries — 0.9%
AMOREPACIFIC Group		468	$	59,953
Avon Products, Inc.		1,873		9,009
Coty, Inc., Class A		1,418		39,463
Edgewell Personal Care Co.		1,000		80,530
Estee Lauder Cos., Inc., Class A		5,400		509,274
Kao Corp.		2,500		133,347
LG Household & Health Care, Ltd.		140		115,687
Shiseido Co., Ltd.		400		8,928
Svenska Cellulosa AB SCA, Class B		838		26,188
Unilever NV CVA		1,785		79,997
Unilever PLC		1,221		55,284
				1,117,660
Data Processing/Management — 0.1%
Broadridge Financial Solutions, Inc.		1,700		100,827
CompuGroup Medical SE		511		21,602
CSG Systems International, Inc.		1,396		63,043
				185,472
Decision Support Software — 0.0%
QAD, Inc., Class A		1,150		24,438
Diagnostic Equipment — 0.0%
GenMark Diagnostics, Inc.†		1,926		10,150
Diagnostic Kits — 0.0%
OraSure Technologies, Inc.†		5,810		42,006
Diamonds/Precious Stones — 0.0%
Dominion Diamond Corp.		572		6,343
Disposable Medical Products — 0.5%
C.R. Bard, Inc.		2,900		587,743
ICU Medical, Inc.†		837		87,132
STERIS PLC		271		19,254
				694,129
Distribution/Wholesale — 0.2%
Beacon Roofing Supply, Inc.†		1,167		47,859
Ingram Micro, Inc., Class A		3,700		132,867
Jardine Cycle & Carriage, Ltd.		600		17,820
Wolseley PLC		229		12,955
				211,501
Diversified Banking Institutions — 3.9%
Barclays PLC		20,930		45,091
BNP Paribas SA		3,568		179,575
Citigroup, Inc.		37,500		1,565,625
Credit Suisse Group AG		1,817		25,718
HSBC Holdings PLC		32,433		202,119
JPMorgan Chase & Co.		31,589		1,870,701
Mitsubishi UFJ Financial Group, Inc.		27,300		126,500
Mizuho Financial Group, Inc.		99,600		148,765
Morgan Stanley		29,500		737,795
Natixis SA		1,597		7,863
Societe Generale SA		2,604		96,241
UBS Group AG		1,472		23,713
UniCredit SpA		3,314		11,954
				5,041,660

122

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diversified Financial Services — 0.1%
E.Sun Financial Holding Co., Ltd.		122,000	$	68,233
Unifin Financiera SAPI de CV SOFOM ENR		1,586		4,444
				72,677
Diversified Manufacturing Operations — 0.3%
AZZ, Inc.		451		25,527
Carlisle Cos., Inc.		1,200		119,400
Chase Corp.		356		18,722
Fabrinet†		354		11,452
LSB Industries, Inc.†		1,106		14,101
Siemens AG		1,367		144,896
Standex International Corp.		438		34,081
				368,179
Diversified Minerals — 0.0%
BHP Billiton, Ltd.		2,077		26,843
Sumitomo Metal Mining Co., Ltd.		2,000		19,859
				46,702
Diversified Operations — 0.2%
Haci Omer Sabanci Holding AS		11,468		39,640
Industrivarden AB, Class A		5,264		98,559
Siam Cement PCL		4,250		56,538
Wharf Holdings, Ltd.		2,000		10,932
				205,669
Drug Delivery Systems — 0.1%
Catalent, Inc.†		652		17,389
Clinigen Group PLC		1,622		13,605
Depomed, Inc.†		569		7,926
DexCom, Inc.†		504		34,227
				73,147
E-Commerce/Products — 1.6%
Alibaba Group Holding, Ltd. ADR†		2,512		198,523
Amazon.com, Inc.†		1,322		784,792
eBay, Inc.†		44,900		1,071,314
Interpark Holdings Corp.		3,481		28,674
Shutterfly, Inc.†		198		9,181
				2,092,484
E-Commerce/Services — 0.2%
Ctrip.com International, Ltd. ADR†		1,765		78,119
Liberty Ventures, Series A†		3,800		148,656
				226,775
E-Marketing/Info — 0.0%
Criteo SA ADR†		277		11,473
E-Services/Consulting — 0.0%
Perficient, Inc.†		1,477		32,080
Electric Products-Misc. — 0.1%
Brother Industries, Ltd.		4,500		51,739
Littelfuse, Inc.		360		44,320
Nidec Corp.		100		6,843
				102,902

Security Description	Shares		Value (Note 2)
Electric-Distribution — 0.5%
PPL Corp.		16,200	$	616,734
Electric-Generation — 0.0%
China Resources Power Holdings Co., Ltd.		22		41
Electric Power Development Co., Ltd.		500		15,616
Talen Energy Corp.†		2,491		22,419
				38,076
Electric-Integrated — 1.5%
AES Corp.		11,700		138,060
American Electric Power Co., Inc.		600		39,840
E.ON SE		6,608		63,447
Endesa SA		3,700		71,027
Enel SpA		17,328		76,859
Entergy Corp.		14,200		1,125,776
Iberdrola SA		25,357		169,112
Korea Electric Power Corp.		1,520		80,014
Pampa Energia SA ADR†		1,551		33,254
RWE AG		3,796		49,134
SSE PLC		325		6,964
Tenaga Nasional Bhd		12,500		44,662
Tokyo Electric Power Co., Inc.†		6,300		34,650
				1,932,799
Electronic Components-Misc. — 0.3%
Casetek Holdings, Ltd.		18,000		97,875
Hitachi High-Technologies Corp.		600		16,900
Hoya Corp.		2,900		110,310
Jabil Circuit, Inc.		1,521		29,310
Murata Manufacturing Co., Ltd.		600		72,344
Plexus Corp.†		1,129		44,618
Sanmina Corp.†		1,078		25,204
Stoneridge, Inc.†		2,199		32,017
				428,578
Electronic Components-Semiconductors — 1.2%
Ambarella, Inc.†		347		15,511
Cavium, Inc.†		435		26,605
CEVA, Inc.†		1,503		33,817
DSP Group, Inc.†		3,463		31,583
Intersil Corp., Class A		1,926		25,751
Lattice Semiconductor Corp.†		8,292		47,098
Mellanox Technologies, Ltd.†		633		34,391
Microsemi Corp.†		615		23,561
Monolithic Power Systems, Inc.		380		24,183
NVIDIA Corp.		21,700		773,171
ON Semiconductor Corp.†		4,427		42,455
QLogic Corp.†		5,178		69,592
Rovi Corp.†		1,253		25,699
Samsung Electronics Co., Ltd.		228		261,574
Semtech Corp.†		614		13,502
Silicon Laboratories, Inc.†		232		10,431
SK Hynix, Inc.		2,477		60,972
Skyworks Solutions, Inc.		368		28,667
SunEdison Semiconductor, Ltd.†		628		4,069
Synaptics, Inc.†		326		25,995
				1,578,627

123

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Design Automation — 0.0%
Mentor Graphics Corp.		2,515	$	51,130
Electronic Measurement Instruments — 0.4%
Agilent Technologies, Inc.		12,000		478,200
Sartorius AG (Preference Shares)		53		13,506
Wasion Group Holdings, Ltd.		48,000		25,246
				516,952
Electronic Parts Distribution — 0.0%
Tech Data Corp.†		297		22,801
Electronic Security Devices — 0.2%
Allegion PLC		2,400		152,904
dorma+kaba Holding AG		37		23,646
Tyco International PLC		430		15,785
				192,335
Electronics-Military — 0.6%
L-3 Communications Holdings, Inc.		6,000		711,000
Energy-Alternate Sources — 0.1%
Concord New Energy Group, Ltd.		900,000		48,728
Vestas Wind Systems A/S		1,737		122,546
				171,274
Engineering/R&D Services — 0.1%
Argan, Inc.		1,350		47,466
KBR, Inc.		8,100		125,388
				172,854
Enterprise Software/Service — 0.1%
MobileIron, Inc.†		2,956		13,361
Proofpoint, Inc.†		607		32,644
SYNNEX Corp.		476		44,073
Tyler Technologies, Inc.†		211		27,137
Veeva Systems, Inc., Class A†		852		21,334
				138,549
Entertainment Software — 0.1%
GungHo Online Entertainment, Inc.		19,600		55,206
Nexon Co., Ltd.		2,100		35,807
				91,013
Environmental Consulting & Engineering — 0.1%
Sweco AB, Class B		416		6,836
Tetra Tech, Inc.		2,266		67,572
				74,408
Environmental Monitoring & Detection — 0.0%
MSA Safety, Inc.		368		17,793
Female Health Care Products — 0.0%
Asaleo Care, Ltd.		1,542		2,151
Finance-Consumer Loans — 0.7%
Encore Capital Group, Inc.†		643		16,551
Nelnet, Inc., Class A		1,119		44,055
PRA Group, Inc.†		563		16,546
Synchrony Financial†		30,500		874,130
				951,282

Security Description	Shares		Value (Note 2)
Finance-Credit Card — 0.0%
Worldpay Group PLC†*		4,302	$	16,998
Finance-Investment Banker/Broker — 0.3%
Daiwa Securities Group, Inc.		3,000		18,454
E*TRADE Financial Corp.†		14,900		364,901
Nomura Holdings, Inc.		8,700		38,875
Oppenheimer Holdings, Inc., Class A		1,004		15,843
				438,073
Finance-Leasing Companies — 0.2%
Mitsubishi UFJ Lease & Finance Co., Ltd.		19,600		86,031
ORIX Corp.		7,600		108,417
				194,448
Finance-Mortgage Loan/Banker — 0.1%
Arlington Asset Investment Corp., Class A		540		6,766
CoreLogic, Inc.†		2,200		76,340
Federal Agricultural Mtg. Corp., Class C		702		26,486
PennyMac Financial Services, Inc., Class A†		1,198		14,089
				123,681
Finance-Other Services — 0.1%
Euronext NV*(2)		210		8,720
Moscow Exchange MICEX-RTS PJSC		58,510		90,963
WageWorks, Inc.†		374		18,928
				118,611
Firearms & Ammunition — 0.1%
Smith & Wesson Holding Corp.†		2,876		76,559
Fisheries — 0.0%
Austevoll Seafood ASA		787		6,467
Salmar ASA		963		23,625
				30,092
Food-Catering — 0.0%
Compass Group PLC		2,620		46,209
Food-Confectionery — 0.0%
Barry Callebaut AG		20		21,736
Food-Meat Products — 0.1%
WH Group, Ltd.†*		160,955		116,608
Food-Misc./Diversified — 1.2%
Associated British Foods PLC		751		36,123
Cal-Maine Foods, Inc.		698		36,233
Campbell Soup Co.		7,100		452,909
ConAgra Foods, Inc.		13,000		580,060
John B. Sanfilippo & Son, Inc.		1,214		83,875
Kerry Group PLC, Class A		597		55,623
Nestle SA		2,122		158,563
Nomad Foods, Ltd.†		1,908		17,191
Orkla ASA		2,043		18,505
Pinnacle Foods, Inc.		703		31,410
Uni-President Enterprises Corp.		14,000		24,578
				1,495,070

124

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Retail — 0.7%
J Sainsbury PLC		13,722	$	54,454
Koninklijke Ahold NV		6,947		156,281
Kroger Co.		13,600		520,200
METRO AG		949		29,405
Seven & i Holdings Co., Ltd.		100		4,258
Woolworths, Ltd.		1,643		27,834
X5 Retail Group NV GDR†		3,703		78,503
				870,935
Food-Wholesale/Distribution — 0.0%
SpartanNash Co.		1,397		42,343
Footwear & Related Apparel — 0.0%
Steven Madden, Ltd.†		900		33,336
Wolverine World Wide, Inc.		1,325		24,407
				57,743
Gambling (Non-Hotel) — 0.0%
Tabcorp Holdings, Ltd.		4,451		14,603
Garden Products — 0.1%
Scotts Miracle-Gro Co., Class A		1,200		87,324
Gas-Distribution — 0.5%
Centrica PLC		14,818		48,460
Questar Corp.		3,000		74,400
UGI Corp.		12,450		501,610
Vectren Corp.		1,100		55,616
				680,086
Gold Mining — 0.0%
Newcrest Mining, Ltd.†		2,027		26,352
Home Furnishings — 0.2%
Ethan Allen Interiors, Inc.		1,981		63,035
Leggett & Platt, Inc.		4,200		203,280
				266,315
Hotels/Motels — 0.1%
Accor SA		149		6,314
Central Plaza Hotel PCL		30,400		36,941
Dalata Hotel Group PLC†		4,363		22,107
Diamond Resorts International, Inc.†		916		22,259
Marcus Corp.		1,167		22,115
				109,736
Human Resources — 0.2%
Adecco SA		1,329		86,591
Kforce, Inc.		1,717		33,619
Korn/Ferry International		927		26,225
Monster Worldwide, Inc.†		4,384		14,292
On Assignment, Inc.†		819		30,237
Paylocity Holding Corp.†		351		11,492
Team Health Holdings, Inc.†		283		11,832
TrueBlue, Inc.†		747		19,534
				233,822
Identification Systems — 0.0%
Imprivata, Inc.†		1,789		22,595

Security Description	Shares		Value (Note 2)
Import/Export — 0.0%
ITOCHU Corp.		4,000	$	49,260
Mitsubishi Corp.		500		8,468
				57,728
Industrial Automated/Robotic — 0.0%
Hollysys Automation Technologies, Ltd.†		1,738		36,585
Instruments-Controls — 0.1%
Woodward, Inc.		1,240		64,505
Insurance-Life/Health — 1.4%
AIA Group, Ltd.		22,400		126,909
American Equity Investment Life Holding Co.		2,855		47,964
Anicom Holdings, Inc.†		400		10,982
Cathay Financial Holding Co., Ltd.		48,000		57,494
Challenger, Ltd.		3,308		21,275
CNO Financial Group, Inc.		1,958		35,087
Lincoln National Corp.		8,800		344,960
NN Group NV		1,746		57,130
Prudential Financial, Inc.		12,500		902,750
Prudential PLC		2,722		50,862
St James's Place PLC		967		12,757
Swiss Life Holding AG		259		68,875
				1,737,045
Insurance-Multi-line — 1.2%
Ageas		528		20,950
Allianz SE		1,286		209,185
Allstate Corp.		10,700		720,859
American Financial Group, Inc.		1,300		91,481
AXA SA		4,821		113,502
BB Seguridade Participacoes SA		3,359		27,745
Chubb, Ltd.		65		7,745
CNP Assurances		4,312		67,245
Delta Lloyd NV		2,168		10,075
Genworth Financial, Inc., Class A†		3,710		10,128
Medibank Pvt., Ltd.		8,719		19,583
Voya Financial, Inc.		8,800		261,976
				1,560,474
Insurance-Property/Casualty — 0.4%
Admiral Group PLC		636		18,114
AmTrust Financial Services, Inc.		2,090		54,089
Dongbu Insurance Co., Ltd.		1,113		73,869
Employers Holdings, Inc.		2,397		67,452
Federated National Holding Co.		2,348		46,162
HCI Group, Inc.		1,035		34,466
Heritage Insurance Holdings, Inc.		2,926		46,728
Hyundai Marine & Fire Insurance Co., Ltd.		2,393		69,471
United Insurance Holdings Corp.		3,373		64,795
				475,146
Insurance-Reinsurance — 0.5%
Aspen Insurance Holdings, Ltd.		1,400		66,780
Essent Group, Ltd.†		1,045		21,736
Maiden Holdings, Ltd.		1,695		21,933

125

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Reinsurance (continued)
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen		880	$	178,992
Reinsurance Group of America, Inc.		1,200		115,500
SCOR SE		205		7,278
Swiss Re AG		2,034		188,053
				600,272
Internet Application Software — 0.2%
Intralinks Holdings, Inc.†		1,219		9,606
Tencent Holdings, Ltd.		13,800		281,965
				291,571
Internet Connectivity Services — 0.1%
Cogent Communications Holdings, Inc.		881		34,385
Com Hem Holding AB		3,358		30,961
				65,346
Internet Content-Entertainment — 0.0%
Facebook, Inc., Class A†		83		9,470
NCSoft Corp.		196		43,447
				52,917
Internet Content-Information/News — 0.0%
Mixi, Inc.		700		25,999
Internet Security — 0.0%
AVG Technologies NV†		1,467		30,440
Investment Companies — 0.2%
Investor AB, Class B		4,456		157,750
Medley Capital Corp.		3,331		21,985
Solar Capital, Ltd.		1,375		23,760
				203,495
Investment Management/Advisor Services — 0.3%
Ameriprise Financial, Inc.		4,300		404,243
Lighting Products & Systems — 0.0%
OSRAM Licht AG		1,047		53,976
Linen Supply & Related Items — 0.0%
G&K Services, Inc., Class A		535		39,189
Machine Tools & Related Products — 0.0%
Techtronic Industries Co., Ltd.		8,000		31,660
Machinery-Construction & Mining — 0.0%
Hyster-Yale Materials Handling, Inc.		315		20,979
Machinery-Electrical — 0.1%
ABB, Ltd.		732		14,266
Mitsubishi Electric Corp.		10,000		104,803
Schindler Holding AG		290		53,473
				172,542
Machinery-General Industrial — 0.6%
Altra Industrial Motion Corp.		1,154		32,058
BWX Technologies, Inc.		3,100		104,036
IDEX Corp.		1,400		116,032
Kadant, Inc.		849		38,341
Kone OYJ, Class B		780		37,597

Security Description	Shares		Value (Note 2)
Machinery-General Industrial (continued)
Roper Technologies, Inc.		2,200	$	402,094
Sumitomo Heavy Industries, Ltd.		3,000		12,395
Wabtec Corp.		414		32,826
				775,379
Machinery-Pumps — 0.0%
NN, Inc.		2,033		27,811
Medical Instruments — 0.1%
AtriCure, Inc.†		905		15,231
Bruker Corp.		2,900		81,200
CONMED Corp.		751		31,497
Entellus Medical, Inc.†		555		10,095
Spectranetics Corp.†		967		14,041
TransEnterix, Inc.†		4,314		18,335
				170,399
Medical Labs & Testing Services — 0.0%
Ain Holdings, Inc.		500		25,634
Medical Products — 0.2%
Accuray, Inc.†		2,062		11,918
Globus Medical, Inc., Class A†		905		21,494
Greatbatch, Inc.†		1,442		51,393
MiMedx Group, Inc.†		1,989		17,384
Nuvectra Corp.†		480		2,597
Rockwell Medical, Inc.†		2,529		18,993
West Pharmaceutical Services, Inc.		994		68,904
Zeltiq Aesthetics, Inc.†		977		26,535
				219,218
Medical-Biomedical/Gene — 3.2%
AMAG Pharmaceuticals, Inc.†		3,417		79,958
Amgen, Inc.		9,700		1,454,321
Applied Genetic Technologies Corp.†		911		12,736
Ardelyx, Inc.†		1,866		14,499
ARIAD Pharmaceuticals, Inc.†		1,848		11,809
Cambrex Corp.†		953		41,932
Celgene Corp.†		113		11,310
Charles River Laboratories International, Inc.†		2,846		216,125
Dynavax Technologies Corp.†		1,307		25,147
Emergent BioSolutions, Inc.†		1,232		44,783
Five Prime Therapeutics, Inc.†		592		24,053
Gilead Sciences, Inc.		16,517		1,517,252
Halozyme Therapeutics, Inc.†		945		8,949
Incyte Corp.†		6,300		456,561
Ionis Pharmaceuticals, Inc.†		228		9,234
Ligand Pharmaceuticals, Inc.†		179		19,169
Medicines Co.†		291		9,245
Medivation, Inc.†		185		8,506
Merrimack Pharmaceuticals, Inc.†		2,234		18,699
Myriad Genetics, Inc.†		391		14,635
Novavax, Inc.†		1,068		5,511
OncoMed Pharmaceuticals, Inc.†		451		4,560
Prothena Corp. PLC†		920		37,867
Repligen Corp.†		633		16,977
Sage Therapeutics, Inc.†		224		7,181
Tokai Pharmaceuticals, Inc.†		551		3,091
				4,074,110

126

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Drugs — 3.3%
AbbVie, Inc.		600	$	34,272
ACADIA Pharmaceuticals, Inc.†		907		25,360
Akorn, Inc.†		553		13,012
Allergan PLC†		87		23,319
Anacor Pharmaceuticals, Inc.†		168		8,980
Aralez Pharmaceuticals, Inc.†		5,374		19,078
Astellas Pharma, Inc.		8,900		118,342
AstraZeneca PLC		2,864		160,526
Bayer AG		67		7,876
BioSpecifics Technologies Corp.†		409		14,241
Cardiome Pharma Corp.†		7,891		32,274
Eagle Pharmaceuticals, Inc.†		263		10,652
GlaxoSmithKline PLC		8,116		164,591
Grifols SA		834		18,572
Grifols SA ADR		1,175		18,177
Hikma Pharmaceuticals PLC		1,497		42,571
Hua Han Health Industry Holdings, Ltd.		260,000		28,154
Hypermarcas SA†		4,648		36,350
Immune Design Corp.†		581		7,553
Inotek Pharmaceuticals Corp.†		896		6,630
Insys Therapeutics, Inc.†		814		13,016
Jazz Pharmaceuticals PLC†		1,035		135,119
Lannett Co., Inc.†		1,564		28,043
Merck KGaA		535		44,629
Novartis AG		2,658		192,671
Novo Nordisk A/S, Class B		1,131		61,347
Ophthotech Corp.†		487		20,585
Pacira Pharmaceuticals, Inc.†		474		25,113
Pfizer, Inc.		57,623		1,707,946
PharMerica Corp.†		1,047		23,149
Prestige Brands Holdings, Inc.†		581		31,020
Richter Gedeon Nyrt		3,887		77,490
Roche Holding AG		736		181,177
Sanofi		2,942		237,218
Shionogi & Co., Ltd.		500		23,533
Shire PLC		1,259		71,588
STADA Arzneimittel AG		341		13,536
Sucampo Pharmaceuticals, Inc., Class A†		1,596		17,444
Supernus Pharmaceuticals, Inc.†		1,302		19,856
TESARO, Inc.†		759		33,419
Trevena, Inc.†		1,201		9,932
uniQure NV†		603		7,164
Zoetis, Inc.		11,200		496,496
				4,262,021
Medical-Generic Drugs — 0.1%
Impax Laboratories, Inc.†		262		8,389
Teva Pharmaceutical Industries, Ltd. ADR		1,052		56,293
				64,682
Medical-HMO — 0.9%
Anthem, Inc.		7,500		1,042,425
Centene Corp.†		805		49,566
Molina Healthcare, Inc.†		135		8,706

Security Description	Shares		Value (Note 2)
Medical-HMO (continued)
Triple-S Management Corp., Class B†		848	$	21,081
WellCare Health Plans, Inc.†		190		17,623
				1,139,401
Medical-Hospitals — 0.1%
Mediclinic International PLC†		3,259		41,888
Select Medical Holdings Corp.		3,135		37,025
				78,913
Medical-Nursing Homes — 0.0%
Kindred Healthcare, Inc.		1,257		15,524
Medical-Outpatient/Home Medical — 0.2%
Amsurg Corp.†		705		52,593
Chemed Corp.		760		102,942
Providence Service Corp.†		717		36,617
				192,152
Medical-Wholesale Drug Distribution — 1.7%
AmerisourceBergen Corp.		12,000		1,038,600
Cardinal Health, Inc.		5,900		483,505
McKesson Corp.		3,200		503,200
Medipal Holdings Corp.		6,400		101,336
Suzuken Co., Ltd.		2,200		74,770
				2,201,411
Metal Processors & Fabrication — 0.1%
EVA Precision Industrial Holdings, Ltd.		400,000		59,299
Metal-Diversified — 0.1%
Glencore PLC		26,285		59,384
Rio Tinto PLC		236		6,628
				66,012
Metal-Iron — 0.0%
Fortescue Metals Group, Ltd.		21,948		42,902
Motion Pictures & Services — 0.0%
Lions Gate Entertainment Corp.		1,962		42,870
Motorcycle/Motor Scooter — 0.0%
Yamaha Motor Co., Ltd.		1,700		28,277
MRI/Medical Diagnostic Imaging — 0.1%
RadNet, Inc.†		2,839		13,712
Surgical Care Affiliates, Inc.†		1,324		61,275
				74,987
Multimedia — 0.5%
Entravision Communications Corp., Class A		4,565		33,964
Lagardere SCA		3,374		89,647
Naspers, Ltd., Class N		1,205		168,216
Quebecor, Inc., Class B		605		15,885
Viacom, Inc., Class B		7,200		297,216
				604,928
Networking Products — 0.3%
A10 Networks, Inc.†		2,059		12,189
Cisco Systems, Inc.		9,000		256,230
Gigamon, Inc.†		338		10,485
Infinera Corp.†		905		14,534

127

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Networking Products (continued)
Ixia†		2,451	$	30,540
				323,978
Non-Ferrous Metals — 0.0%
Mitsubishi Materials Corp.		17,000		48,034
Non-Hazardous Waste Disposal — 0.3%
China Water Affairs Group, Ltd.		156,000		64,151
Waste Connections, Inc.		5,600		361,704
				425,855
Office Automation & Equipment — 0.5%
Pitney Bowes, Inc.		1,249		26,903
Seiko Epson Corp.		800		12,923
Xerox Corp.		48,700		543,492
				583,318
Oil Companies-Exploration & Production — 1.2%
California Resources Corp.		1,891		1,948
Callon Petroleum Co.†		3,236		28,639
Diamondback Energy, Inc.†		187		14,433
Encana Corp.		627		3,824
Gulfport Energy Corp.†		578		16,380
Lone Pine Resources Canada, Ltd.†(3)		1,247		848
Lone Pine Resources, Inc.,†(3)		1,247		6
Northern Oil and Gas, Inc.†		3,553		14,176
Occidental Petroleum Corp.		20,200		1,382,286
Pioneer Natural Resources Co.		83		11,681
Whiting Petroleum Corp.†		420		3,352
Woodside Petroleum, Ltd.		2,732		54,366
				1,531,939
Oil Companies-Integrated — 0.7%
BP PLC		18,194		91,498
Eni SpA		2,188		33,113
Exxon Mobil Corp.		1,593		133,159
OMV AG		4,511		126,915
Repsol SA		1,322		14,923
Royal Dutch Shell PLC, Class A (Euronext)		933		22,656
Royal Dutch Shell PLC, Class A (BATS)		5,257		127,148
Royal Dutch Shell PLC, Class B		4,018		98,104
Statoil ASA		6,742		106,165
Suncor Energy, Inc.		1,249		34,785
TOTAL SA		3,498		159,454
				947,920
Oil Refining & Marketing — 0.7%
Caltex Australia, Ltd.		1,409		36,744
CVR Energy, Inc.		2,100		54,810
HollyFrontier Corp.		5,400		190,728
Tesoro Corp.		2,100		180,621
Valero Energy Corp.		7,300		468,222
				931,125

Security Description	Shares		Value (Note 2)
Oil-Field Services — 1.7%
Halliburton Co.		15,300	$	546,516
Matrix Service Co.†		1,074		19,010
Schlumberger, Ltd.		21,800		1,607,750
				2,173,276
Optical Recognition Equipment — 0.0%
Jenoptik AG		802		12,822
Optical Supplies — 0.0%
STAAR Surgical Co.†		1,619		11,964
Paper & Related Products — 0.2%
Domtar Corp.		829		33,575
Mondi PLC		1,317		25,271
Nine Dragons Paper Holdings, Ltd.		50,000		37,642
Sappi, Ltd.†		8,671		38,393
Smurfit Kappa Group PLC		555		14,304
Stora Enso Oyj, Class R		3,283		29,381
Suzano Papel e Celulose SA, Class A (Preference Shares)		13,792		48,561
UPM-Kymmene Oyj		4,139		74,979
				302,106
Patient Monitoring Equipment — 0.0%
Insulet Corp.†		660		21,886
Petrochemicals — 0.1%
Braskem SA, Class A (Preference Shares)		4,718		30,717
Lotte Chemical Corp.		181		54,050
				84,767
Physical Therapy/Rehabilitation Centers — 0.0%
HealthSouth Corp.		1,226		46,134
Poultry — 0.0%
Sanderson Farms, Inc.		637		57,445
Power Converter/Supply Equipment — 0.1%
Advanced Energy Industries, Inc.†		2,323		80,817
Boer Power Holdings, Ltd.		21,000		16,568
				97,385
Printing-Commercial — 0.2%
Dai Nippon Printing Co., Ltd.		15,000		133,280
Deluxe Corp.		1,450		90,610
Ennis, Inc.		1,210		23,656
Toppan Printing Co., Ltd.		7,000		58,714
				306,260
Private Equity — 0.1%
3i Group PLC		22,145		145,161
Eurazeo SA		164		11,089
KKR & Co. LP		648		9,519
				165,769
Protection/Safety — 0.0%
Landauer, Inc.		1,041		34,426
Publishing-Newspapers — 0.1%
News Corp., Class A		12,600		160,902
Publishing-Periodicals — 0.1%
Wolters Kluwer NV		1,734		69,217

128

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Racetracks — 0.0%
Penn National Gaming, Inc.†		3,292	$	54,943
Radio — 0.3%
Sirius XM Holdings, Inc.†		112,500		444,375
Real Estate Investment Trusts — 2.0%
AG Mtg. Investment Trust, Inc.		477		6,234
Agree Realty Corp.		820		31,545
American Capital Agency Corp.		13,700		255,231
Annaly Capital Management, Inc.		29,400		301,644
Apollo Commercial Real Estate Finance, Inc.		1,176		19,169
Arbor Realty Trust, Inc.		4,640		31,413
ARMOUR Residential REIT, Inc.		317		6,825
Ashford Hospitality Trust, Inc.		2,981		19,019
Brandywine Realty Trust		1,757		24,651
CBL & Associates Properties, Inc.		1,060		12,614
Chimera Investment Corp.		8,000		108,720
Communications Sales & Leasing, Inc.		2,806		62,433
CYS Investments, Inc.		1,498		12,194
Dexus Property Group		10,484		63,810
EPR Properties		445		29,646
Equity LifeStyle Properties, Inc.		1,100		80,003
First Industrial Realty Trust, Inc.		961		21,853
General Growth Properties, Inc.		10,500		312,165
GEO Group, Inc.		3,578		124,049
Hersha Hospitality Trust		789		16,837
Hibernia REIT PLC		22,636		33,536
Invesco Mtg. Capital, Inc.		779		9,488
Investors Real Estate Trust		2,161		15,689
Japan Hotel REIT Investment Corp.		41		36,102
Lexington Realty Trust		4,083		35,114
LTC Properties, Inc.		1,163		52,614
Macquarie Mexico Real Estate Management SA de CV		58,627		79,234
MFA Financial, Inc.		15,947		109,237
National Health Investors, Inc.		1,016		67,584
Omega Healthcare Investors, Inc.		1,595		56,304
One Liberty Properties, Inc.		1,049		23,508
Post Properties, Inc.		363		21,686
Ramco-Gershenson Properties Trust		1,202		21,672
Select Income REIT		773		17,818
Simon Property Group, Inc.		800		166,152
Sovran Self Storage, Inc.		138		16,277
Starwood Property Trust, Inc.		9,800		185,514
Summit Hotel Properties, Inc.		2,666		31,912
Two Harbors Investment Corp.		10,800		85,752
Universal Health Realty Income Trust		278		15,638
				2,620,886
Real Estate Management/Services — 0.8%
CBRE Group, Inc., Class A†		15,000		432,300
Foxtons Group PLC		5,213		12,185

Security Description	Shares		Value (Note 2)
Real Estate Management/Services (continued)
Jones Lang LaSalle, Inc.		2,300	$	269,836
Kennedy-Wilson Holdings, Inc.		883		19,338
RE/MAX Holdings, Inc., Class A		1,504		51,587
Realogy Holdings Corp.†		7,200		259,992
Regus PLC		5,147		23,412
				1,068,650
Real Estate Operations & Development — 0.4%
Community Healthcare Trust, Inc.		1,275		23,575
Emaar Properties PJSC		42,033		68,891
Hang Lung Group, Ltd.		1,000		2,862
Kawasan Industri Jababeka Tbk PT		2,531,580		49,639
Kerry Properties, Ltd.		17,000		46,897
Megaworld Corp.		641,000		57,773
New World Development Co., Ltd.		71,000		67,729
Nomura Real Estate Holdings, Inc.		600		11,089
Sun Hung Kai Properties, Ltd.		1,000		12,214
Surya Semesta Internusa Tbk PT		792,400		43,026
Wheelock & Co., Ltd.		24,000		107,202
				490,897
Recreational Vehicles — 0.1%
Brunswick Corp.		747		35,841
Malibu Boats, Inc., Class A†		916		15,023
MCBC Holdings, Inc.†		1,578		22,218
				73,082
Rental Auto/Equipment — 0.0%
Ashtead Group PLC		3,616		44,872
Research & Development — 0.0%
INC Research Holdings, Inc.†		502		20,687
Resorts/Theme Parks — 0.2%
Marriott Vacations Worldwide Corp.		506		34,155
Six Flags Entertainment Corp.		3,300		183,117
				217,272
Retail-Apparel/Shoe — 0.3%
Caleres, Inc.		1,369		38,729
Children's Place, Inc.		507		42,319
Coach, Inc.		925		37,083
DSW, Inc., Class A		1,096		30,293
Express, Inc.†		2,373		50,806
Industria de Diseno Textil SA		2,063		69,404
Next PLC		188		14,581
Shimamura Co., Ltd.		300		37,452
				320,667
Retail-Building Products — 2.6%
Home Depot, Inc.		13,600		1,814,648
Kingfisher PLC		27,319		147,805
Lowe's Cos., Inc.		18,700		1,416,525
				3,378,978
Retail-Catalog Shopping — 0.2%
Liberty Interactive Corp. QVC Group, Class A†		10,400		262,600

129

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Discount — 1.2%
Big Lots, Inc.		666	$	30,163
Wal-Mart Stores, Inc.		23,000		1,575,270
				1,605,433
Retail-Hypermarkets — 0.1%
Grupo Comercial Chedraui SA de CV		19,052		60,540
Puregold Price Club, Inc.		47,200		37,313
Wal-Mart de Mexico SAB de CV		21,023		49,767
				147,620
Retail-Major Department Stores — 0.1%
Marks & Spencer Group PLC		13,663		79,711
Matahari Department Store Tbk PT		22,600		31,275
				110,986
Retail-Misc./Diversified — 0.0%
Poya International Co., Ltd.		3,000		31,879
Retail-Petroleum Products — 0.1%
World Fuel Services Corp.		1,500		72,870
Retail-Regional Department Stores — 0.0%
Dillard's, Inc., Class A		413		35,068
Retail-Restaurants — 0.8%
Brinker International, Inc.		869		39,930
Cheesecake Factory, Inc.		495		26,280
Papa John's International, Inc.		412		22,326
Starbucks Corp.		15,000		895,500
				984,036
Retail-Sporting Goods — 0.0%
Vista Outdoor, Inc.†		343		17,805
Retail-Vision Service Center — 0.0%
Luxottica Group SpA		380		20,971
Retail-Vitamins & Nutrition Supplements — 0.0%
GNC Holdings, Inc., Class A		923		29,305
Rubber-Tires — 0.2%
Cie Generale des Etablissements Michelin		668		68,357
Continental AG		287		65,316
Cooper Tire & Rubber Co.		1,348		49,903
Goodyear Tire & Rubber Co.		654		21,569
				205,145
Rubber/Plastic Products — 0.1%
Trinseo SA†		2,668		98,209
Satellite Telecom — 0.0%
Cellnex Telecom SAU*		859		13,733
Eutelsat Communications SA		1,272		41,092
				54,825
Savings & Loans/Thrifts — 0.1%
Banc of California, Inc.		960		16,800
BofI Holding, Inc.†		1,823		38,903
Flushing Financial Corp.		1,002		21,663
Meta Financial Group, Inc.		556		25,354
Pacific Premier Bancorp, Inc.†		949		20,280
				123,000

Security Description	Shares		Value (Note 2)
Schools — 0.1%
Bright Horizons Family Solutions, Inc.†		476	$	30,835
Grand Canyon Education, Inc.†		1,090		46,587
ITT Educational Services, Inc.†(1)(2)		641		1,981
New Oriental Education & Technology Group ADR		1,867		64,579
				143,982
Security Services — 0.1%
Securitas AB, Class B		4,651		77,056
Sohgo Security Services Co., Ltd.		400		21,680
				98,736
Semiconductor Components-Integrated Circuits — 0.7%
Cirrus Logic, Inc.†		1,274		46,386
Cypress Semiconductor Corp.		5,609		48,574
Integrated Device Technology, Inc.†		579		11,835
Maxim Integrated Products, Inc.		12,100		445,038
Power Integrations, Inc.		409		20,311
Taiwan Semiconductor Manufacturing Co., Ltd.		63,039		317,310
				889,454
Semiconductor Equipment — 0.3%
MKS Instruments, Inc.		1,075		40,474
Teradyne, Inc.		13,600		293,624
Tessera Technologies, Inc.		1,355		42,005
				376,103
Shipbuilding — 0.1%
Yangzijiang Shipbuilding Holdings, Ltd.		152,800		111,098
Soap & Cleaning Preparation — 0.1%
Henkel AG & Co. KGaA (Preference Shares)		325		35,835
Reckitt Benckiser Group PLC		714		69,015
				104,850
Steel-Producers — 0.2%
Nippon Steel & Sumitomo Metal Corp.		1,200		23,052
Reliance Steel & Aluminum Co.		1,900		131,461
ThyssenKrupp AG		1,499		31,146
voestalpine AG		948		31,720
				217,379
Storage/Warehousing — 0.0%
Sumitomo Warehouse Co., Ltd.		4,000		20,365
Sugar — 0.1%
Sao Martinho SA		4,915		66,009
SupraNational Banks — 0.0%
Banco Latinoamericano de Comercio Exterior SA, Class E		1,874		45,388
Telecom Equipment-Fiber Optics — 0.0%
Ciena Corp.†		743		14,132
Telecom Services — 0.2%
BCE, Inc.		125		5,697
Inteliquent, Inc.		1,761		28,264

130

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Telecom Services (continued)
NeuStar, Inc., Class A†		946	$	23,271
Spark New Zealand, Ltd.		2,750		6,938
Spok Holdings, Inc.		1,166		20,417
Telekomunikasi Indonesia Persero Tbk PT		242,700		60,858
Telenor ASA		2,706		43,788
Vocus Communications, Ltd.		2,867		18,307
				207,540
Telecommunication Equipment — 0.6%
Juniper Networks, Inc.		26,000		663,260
Plantronics, Inc.		823		32,253
ShoreTel, Inc.†		2,408		17,916
				713,429
Telephone-Integrated — 2.2%
BT Group PLC		17,733		112,191
Cincinnati Bell, Inc.†		13,297		51,459
Deutsche Telekom AG		5,613		100,755
Frontier Communications Corp.		6,358		35,541
IDT Corp., Class B		903		14,078
KDDI Corp.		3,600		96,154
Nippon Telegraph & Telephone Corp.		3,100		133,536
Orange SA		6,596		115,548
SoftBank Group Corp.		600		28,607
Telecom Italia SpA RSP		32,783		28,724
Telstra Corp., Ltd.		17,962		73,388
Verizon Communications, Inc.		38,282		2,070,291
				2,860,272
Television — 0.5%
Atresmedia Corp. de Medios de Comunicacion SA		305		3,342
CJ E&M Corp.		957		53,390
Cyfrowy Polsat SA†		10,018		65,163
Gray Television, Inc.†		3,549		41,594
ITV PLC		45,056		156,085
Liberty Media Corp., Class A†		4,400		169,972
Mediaset SpA		2,493		10,286
Nippon Television Holdings, Inc.		900		14,850
ProSiebenSat.1 Media SE		554		28,485
Sinclair Broadcast Group, Inc., Class A		1,011		31,088
				574,255
Textile-Products — 0.0%
Taiwan Paiho, Ltd.		13,000		38,939
Theaters — 0.1%
National CineMedia, Inc.		2,495		37,949
Regal Entertainment Group, Class A		2,477		52,364
				90,313
Therapeutics — 0.0%
Neurocrine Biosciences, Inc.†		889		35,160
Portola Pharmaceuticals, Inc.†		273		5,569
				40,729

Security Description	Shares		Value (Note 2)
Tobacco — 0.7%
Altria Group, Inc.		6,800	$	426,088
British American Tobacco PLC		1,257		73,839
Imperial Brands PLC		3,727		206,783
Japan Tobacco, Inc.		900		37,505
Philip Morris International, Inc.		117		11,479
Swedish Match AB		2,443		82,935
Vector Group, Ltd.		2,172		49,609
				888,238
Tools-Hand Held — 0.1%
Basso Industry Corp.		36,000		76,846
Toys — 0.0%
Nintendo Co., Ltd.		100		14,217
Transactional Software — 0.1%
Amadeus IT Holding SA, Class A		1,198		51,379
Synchronoss Technologies, Inc.†		389		12,580
				63,959
Transport-Marine — 0.1%
Aegean Marine Petroleum Network, Inc. ADR		3,771		28,547
AP Moeller — Maersk A/S, Series B		75		98,381
DHT Holdings, Inc.		2,336		13,455
Scorpio Tankers, Inc.		3,217		18,755
				159,138
Transport-Rail — 0.1%
Aurizon Holdings, Ltd.		7,181		21,798
Central Japan Railway Co.		600		106,118
				127,916
Transport-Services — 0.8%
Deutsche Post AG		1,966		54,630
Matson, Inc.		388		15,586
Royal Mail PLC		9,796		67,632
United Parcel Service, Inc., Class B		8,400		885,948
Universal Truckload Services, Inc.		121		1,993
				1,025,789
Transport-Truck — 0.0%
XPO Logistics, Inc.†		524		16,087
Travel Services — 0.1%
Flight Centre Travel Group, Ltd.		1,712		56,732
Modetour Network, Inc.		1,532		40,323
TUI AG		1,953		30,266
				127,321
Venture Capital — 0.0%
Hercules Technology Growth Capital, Inc.		1,627		19,540
Vitamins & Nutrition Products — 0.0%
Nutraceutical International Corp.†		628		15,292
Omega Protein Corp.†		714		12,095
				27,387
Water — 0.0%
Veolia Environnement SA		1,648		39,699

131

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares/ Principal Amount(17)		Value (Note 2)
COMMON STOCKS (continued)
Web Hosting/Design — 0.0%
Web.com Group, Inc.†		2,488	$	49,312
Web Portals/ISP — 1.2%
Alphabet, Inc., Class A†		1,921		1,465,531
Iliad SA		34		8,749
PChome Online, Inc.		3,000		33,044
Yandex NV, Class A†		2,786		42,682
				1,550,006
Wireless Equipment — 0.1%
CalAmp Corp.†		2,118		37,976
InterDigital, Inc.		681		37,898
Nokia OYJ†		4,910		29,058
Ubiquiti Networks, Inc.†		429		14,273
				119,205
X-Ray Equipment — 0.2%
Hologic, Inc.†		7,500		258,750
Total Common Stocks (cost $102,752,856)				107,911,578
CONVERTIBLE PREFERRED SECURITIES — 0.0%
Real Estate Investment Trusts — 0.0%
EPR Properties Series C 5.75% (cost $18,145)		995		25,830
PREFERRED SECURITIES — 0.1%
Banks-Commercial — 0.1%
HSBC USA, Inc. FRS Series F 3.50%		1,960		44,766
Diversified Banking Institutions — 0.0%
GMAC Capital Trust I FRS Series 2 6.40%		580		14,216
Telephone-Integrated — 0.0%
Verizon Communications, Inc. 5.90%		800		21,640
Total Preferred Securities (cost $78,631)				80,622
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.7%
Banks-Fiduciary — 0.1%
State Street Capital Trust IV FRS 1.63% due 06/01/2077	$	105,000		76,739
Banks-Money Center — 0.0%
BBVA International Preferred SAU FRS 5.92% due 04/18/2017(4)		15,000		14,850
Banks-Super Regional — 0.1%
Fifth Third Bancorp FRS 5.10% due 06/30/2023(4)		9,000		8,168
Wells Fargo & Co. FRS Series U 5.88% due 06/15/2025(4)		85,000		90,763
				98,931

Security Description	Shares/ Principal Amount(17)		Value (Note 2)
Diversified Banking Institutions — 0.2%
Bank of America Corp. FRS Series AA 6.10% due 03/17/2025(4)	$	61,000	$	60,085
Bank of America Corp. FRS Series Z 6.50% due 10/23/2024(4)		5,000		5,161
Citigroup, Inc. FRS 5.90% due 02/15/2023(4)		24,000		23,580
Citigroup, Inc. FRS Series Q 5.95% due 08/15/2020(4)		168,000		160,776
JPMorgan Chase & Co. FRS Series Z 5.30% due 05/01/2020 (4)		63,000		63,157
Lloyds Banking Group PLC FRS 6.66% due 05/21/2037*(4)		30,000		32,700
				345,459
Diversified Manufacturing Operations — 0.1%
General Electric Co. FRS Series D 5.00% due 01/21/2021(4)		68,000		70,040
Electric-Integrated — 0.1%
Puget Sound Energy, Inc. FRS Series A 6.97% due 06/01/2067		40,000		30,525
WEC Energy Group, Inc. FRS 6.25% due 05/15/2067		50,000		40,500
				71,025
Finance-Credit Card — 0.0%
American Express Co. FRS Series C 4.90% due 03/15/2020(4)		15,000		13,463
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.20% due 03/15/2044		37,000		35,665
Insurance-Multi-line — 0.1%
Genworth Holdings, Inc. FRS 6.15% due 11/15/2066		42,000		13,335
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		50,000		53,375
MetLife, Inc. 6.40% due 12/15/2066		45,000		46,485
				113,195
Insurance-Mutual — 0.0%
Liberty Mutual Group, Inc. FRS 7.00% due 03/07/2067*		10,000		8,800
Pipelines — 0.0%
TransCanada PipeLines, Ltd. FRS 6.35% due 05/15/2067		60,000		40,650
Total Preferred Securities/Capital Securities (cost $937,724)				888,817

132

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES — 1.8%
Diversified Financial Services — 1.8%
Alternative Loan Trust FRS Series 2006-OA7, Class 1A2 1.29% due 06/25/2046(5)	$	20,857	$	16,400
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 0.00% due 11/10/2042*(2)(6)(7)		487,067		5
Banc of America Commercial Mtg. Trust VRS Series 2004-5, Class XC 0.39% due 11/10/2041*(2)(6)(7)		27,537		387
Capmark Mortgage Securities, Inc. VRS Series 1997-C1, Class X 1.34% due 07/15/2029(6)(7)		75,357		2,163
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class AS 3.86% due 07/10/2047(6)		22,000		22,987
Citigroup Commercial Mtg. Trust Series 2014-GC21,Class AS 4.03% due 05/10/2047(6)		44,000		46,674
Citigroup Commercial Mtg. Trust VRS Series 2013-GC17,Class C 5.10% due 11/10/2046(6)		57,000		58,512
Citigroup Commercial Mtg. Trust VRS Series 2066-C4, Class AJ 6.09% due 03/15/2049(6)		29,000		28,865
COMM Mortgage Trust VRS Series 2014-CR18, Class XA 1.28% due 07/15/2047(6)(7)		223,599		14,214
COMM Mortgage Trust Series LC6, Class AM 3.28% due 01/10/2046(6)		20,000		20,536
Commercial Mtg. Pass-Through Certs. VRS Series 2012-CR3, Class XA 2.10% due 10/15/2045(6)(7)		198,934		17,444
Commercial Mtg. Trust VRS Series 2006-C8, Class XS 0.54% due 12/10/2046*(2)(6)(7)		1,976,907		5,010
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 1.07% due 12/10/2047(6)(7)		444,471		26,697
Commercial Mtg. Trust VRS Series 2013-CR13, Class XA 1.14% due 12/10/2023(6)(7)		431,026		20,120
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 1.19% due 05/10/2047(6)(7)		363,231		22,110
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.47% due 12/10/2047(6)		59,000		56,555
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 1.98% due 05/15/2038*(2)(6)(7)		21,427		0

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Financial Services (continued)
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.41% due 02/15/2040*(2)(6)(7)	$	547,632	$	1,040
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 0.58% due 09/15/2039*(2)(6)(7)		307,553		329
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C2, Class A2 5.45% due 01/15/2049(6)		333		332
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.47% due 08/10/2044*(6)		100,000		102,079
GE Capital Commercial Mtg. Corp. VRS Series 2005-C3, Class XC 0.08% due 07/10/2045*(2)(6)(7)		115,444		1
GMAC Commercial Mtg. Securities, Inc. VRS Series 2005-C1, Class X1 0.57% due 05/10/2043*(2)(6)(7)		213,728		543
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.61% due 02/10/2046(6)(7)		916,056		73,630
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(6)		22,000		22,775
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.42% due 09/12/2037*(2)(6)(7)		163,247		734
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-LC11, Class C 3.96% due 04/15/2046(6)		19,000		18,192
JP Morgan Chase Commercial Mtg. Securities Trust VRS JPMCC 2013-C13 C 4.05% due 01/15/2046(6)		62,000		60,198
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-C10, Class C 4.16% due 12/15/2047(6)		51,000		49,497
JP Morgan Chase Commercial Mtg. Securities Trust Series 2004-LN2, Class A2 5.12% due 07/15/2041(6)		1,540		1,542
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.19% due 05/15/2045(6)		21,000		21,589
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2006-LDP8, Class AJ 5.48% due 05/15/2045(6)		105,000		104,686

133

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2003-CB6, Class E 5.86% due 07/12/2037*(2)(6)	$	140,000	$	142,701
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C12, Class D Series C12, Class D 4.09% due 07/15/2045(6)		23,000		21,363
JPMBB Commercial Mtg. Securities Trust Series C15, Class B 4.93% due 11/15/2045(6)		38,000		41,746
JPMorgan Chase Commercial Mtg. Securities Trust VRS Series 2007-LD12, Class A3 5.94% due 02/15/2051(6)		1,181		1,179
LB-UBS Commercial Mtg. Trust VRS Series 2005-C2, Class XCL 0.20% due 04/15/2040*(2)(6)(7)		46,930		3
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class XCL 0.34% due 11/15/2040*(2)(6)(7)		183,561		1,655
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.08% due 04/15/2041(6)		69,000		69,092
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.02% due 06/12/2043*(2)(6)(7)		80,597		0
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 5.48% due 07/15/2045*(2)(6)(7)(8)		97,118		5,759
Mezz Capital Commercial Mtg. Trust VRS Series 2005-C3, Class X 6.32% due 05/15/2044*(2)(6)(7)(8)		5,128		63
ML-CFC Commercial Mortgage Trust VRS Series 2006-2, Class AM 5.95% due 06/12/2046(6)		26,000		26,016
ML-CFC Commercial Mtg. Trust VRS Series 2006-3, Class AM 5.46% due 07/12/2046(6)		33,000		33,291
ML-CFC Commercial Mtg. Trust VRS Series 2006-1, Class AJ 5.74% due 02/12/2039(6)		12,310		12,299
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class XA 1.27% due 08/15/2047(6)(7)		160,859		10,384

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2012-C6, Class XA 2.07% due 11/15/2045*(6)(7)	$	369,233	$	26,905
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class D 3.26% due 05/15/2048*(6)(7)		21,000		14,022
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C8, Class B 3.67% due 12/15/2048(6)		19,000		19,226
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C11, Class C 4.41% due 08/15/2046(6)		64,000		64,480
Morgan Stanley Capital I Trust Series 2005-IQ9, Class B 4.86% due 07/15/2056(6)		130,000		130,436
Morgan Stanley Capital I Trust VRS Series 2011-C3, Class E 5.18% due 07/15/2049*(6)		58,000		56,556
Morgan Stanley Capital I Trust Series 2007-HQ11, Class A31 5.44% due 02/12/2044(6)		8,116		8,108
Morgan Stanley Capital I Trust VRS Series 2007-T27, Class AJ 5.64% due 06/11/2042(6)		30,000		29,736
Morgan Stanley Re-REMIC Trust VRS Series 2010-C30A, Class A3B 5.25% due 12/17/2043*(6)		48,380		48,306
Nomura Resecuritization Trust FRS Series 2015-1R, Class 6A9 0.62% due 05/26/2047*(2)(8)		100,000		53,490
Wachovia Bank Commercial Mtg. Trust VRS Series 2005-C18, Class XC 0.00% due 04/15/2042*(2)(6)(7)		199,132		15
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-AJ, Class C25 5.90% due 05/15/2043(6)		25,000		24,874
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2004-AR12, Class A2B 0.89% due 10/25/2044(5)		55,255		49,051
Wells Fargo RBS Commercial Mtg. Trust VRS Series 2012-C9, Class D 4.80% due 11/15/2045*(6)		44,000		41,633
WF-RBS Commercial Mtg. Trust VRS Series 2013-C12, Class XA 1.41% due 03/15/2048*(6)(7)		262,120		16,817

134

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.46% due 03/15/2045*(6)(7)	$	360,453	$	19,903
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.74% due 12/15/2045*(6)(7)		401,123		32,113
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 2.16% due 11/15/2045*(6)(7)		149,197		12,998
WF-RBS Commercial Mtg. Trust VRS Series 2013-UBS1, Class AS 4.31% due 03/15/2046(6)		24,000		26,286
WF-RBS Commercial Mtg. Trust VRS Series 2013-C18, Class AS CMBS 4.3 4.39% due 12/15/2046(6)		53,000		58,370
WF-RBS Commercial Mtg. Trust VRS Series 2014-C19, Class C 4.65% due 03/15/2047(6)		56,000		55,762
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class C 4.84% due 06/15/2045(6)		55,000		57,106
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.84% due 06/15/2045*(6)		55,000		53,337
WF-RBS Commercial Mtg. Trust VRS Series 2013-D, Class C16 4.98% due 09/15/2046*(6)		49,000		44,881
WF-RBS Commercial Mtg. Trust VRS Series 2011-C4 5.26% due 06/15/2044*(6)		55,000		55,592
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class D 5.60% due 02/15/2044*(6)		42,000		43,360
WF-RBS Commercial Mortgage Trust VRS Series 2011-C3, Class D 5.62% due 03/15/2044*(2)(6)		34,000		35,965
Total Asset Backed Securities (cost $3,013,687)				2,260,725
CONVERTIBLE BONDS & NOTES — 0.0%
Auto-Heavy Duty Trucks — 0.0%
Navistar International Corp. Senior Sub. Notes 4.50% due 10/15/2018		4,000		2,385

Security Description	Principal Amount(17)		Value (Note 2)
Real Estate Investment Trusts — 0.0%
iStar, Inc. Senior Notes 3.00% due 11/15/2016	$	11,000	$	11,399
Semiconductor Equipment — 0.0%
Jazz US Holdings, Inc. Company Guar. Notes 8.00% due 12/31/2018		11,000		15,455
Total Convertible Bonds & Notes (cost $25,346)				29,239
U.S. CORPORATE BONDS & NOTES — 6.0%
Advertising Agencies — 0.0%
Omnicom Group, Inc. Company Guar. Notes 3.60% due 04/15/2026		15,000		15,365
Advertising Sales — 0.0%
Lamar Media Corp. Company Guar. Notes 5.38% due 01/15/2024		5,000		5,214
Lamar Media Corp. Company Guar. Notes 5.88% due 02/01/2022		14,000		14,735
Outfront Media Capital LLC Company Guar. Notes 5.63% due 02/15/2024		7,000		7,289
Outfront Media Capital LLC Company Guar. Notes 5.88% due 03/15/2025		10,000		10,425
				37,663
Aerospace/Defense-Equipment — 0.1%
KLX, Inc. Company Guar. Notes 5.88% due 12/01/2022*		25,000		24,875
Moog, Inc. Company Guar. Notes 5.25% due 12/01/2022*		20,000		20,025
TransDigm, Inc. Company Guar. Notes 6.50% due 07/15/2024		28,000		27,782
TransDigm, Inc. Company Guar. Notes 7.50% due 07/15/2021		3,000		3,143
United Technologies Corp. Senior Notes 5.70% due 04/15/2040		5,000		6,240
				82,065
Agricultural Chemicals — 0.0%
Mosaic Co. Senior Notes 3.75% due 11/15/2021		10,000		10,386
Airlines — 0.0%
Continental Airlines, Inc. Pass Though Trust Pass Through Certs. Series 1998-1, Class A 6.65% due 03/15/2019		3,283		3,382

135

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Airlines (continued)
Delta Air Lines 2009-1 Class A Pass Through Trust Pass Thru Certs. Series 2009-1, Class A 7.75% due 06/17/2021	$	2,360	$	2,649
UAL Pass-Through Trust Pass Through Certs. Series 2007-1, Class A 6.64% due 01/02/2024		8,886		9,308
				15,339
Alternative Waste Technology — 0.0%
Advanced Disposal Services, Inc. Company Guar. Notes 8.25% due 10/01/2020		30,000		30,597
Auto-Cars/Light Trucks — 0.1%
Ford Motor Co. Senior Notes 7.40% due 11/01/2046		70,000		89,465
Ford Motor Co. Senior Notes 9.98% due 02/15/2047		5,000		7,090
General Motors Co. Senior Notes 6.25% due 10/02/2043		15,000		16,021
General Motors Co. Senior Notes 6.75% due 04/01/2046		15,000		17,051
General Motors Financial Co., Inc. Company Guar. Notes 3.00% due 09/25/2017		8,000		8,071
General Motors Financial Co., Inc. Company Guar. Notes 3.25% due 05/15/2018		20,000		20,333
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025		13,000		12,867
				170,898
Auto-Heavy Duty Trucks — 0.0%
Navistar International Corp. Company Guar. Notes 8.25% due 11/01/2021		15,000		10,950
Auto/Truck Parts & Equipment-Original — 0.1%
American Axle & Manufacturing, Inc. Company Guar. Notes 7.75% due 11/15/2019		16,000		17,520
Dana Holding Corp. Senior Notes 6.00% due 09/15/2023		4,000		3,940
Delphi Corp. Company Guar. Notes 5.00% due 02/15/2023		5,000		5,263
Lear Corp. Company Guar. Notes 5.38% due 03/15/2024		15,000		15,600

Security Description	Principal Amount(17)		Value (Note 2)
Auto/Truck Parts & Equipment-Original (continued)
Tenneco, Inc. Company Guar. Notes 5.38% due 12/15/2024	$	15,000	$	15,412
TI Group Automotive Systems, LLC Senior Notes 8.75% due 07/15/2023*		20,000		19,200
TRW Automotive, Inc. Company Guar. Notes 4.50% due 03/01/2021*		3,000		3,060
				79,995
Banks-Commercial — 0.1%
CIT Group, Inc. Senior Notes 3.88% due 02/19/2019		6,000		5,985
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022		17,000		17,202
CIT Group, Inc. Senior Notes 5.00% due 08/01/2023		6,000		6,030
CIT Group, Inc. Senior Notes 5.25% due 03/15/2018		14,000		14,483
CIT Group, Inc. Senior Notes 5.38% due 05/15/2020		14,000		14,525
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		17,000		17,587
CIT Group, Inc. Senior Notes 6.63% due 04/01/2018*		25,000		26,281
				102,093
Banks-Mortgage — 0.0%
Provident Funding Associates LP/ PFG Finance Corp. Company Guar. Notes 6.75% due 06/15/2021*		17,000		16,108
Beverages-Wine/Spirits — 0.1%
Constellation Brands, Inc. Company Guar. Notes 4.25% due 05/01/2023		3,000		3,068
Constellation Brands, Inc. Company Guar. Notes 6.00% due 05/01/2022		6,000		6,750
Constellation Brands, Inc. Company Guar. Notes 7.25% due 09/01/2016		21,000		21,420
Diageo Investment Corp. Company Guar. Notes 8.00% due 09/15/2022		45,000		58,010
				89,248
Brewery — 0.1%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		18,000		18,929

136

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Brewery (continued)
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046	$	32,000	$	35,762
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 8.20% due 01/15/2039		16,000		24,199
				78,890
Broadcast Services/Program — 0.1%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes Series B 6.50% due 11/15/2022		28,000		27,860
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 7.63% due 03/15/2020		25,000		22,937
iHeartCommunications, Inc. Senior Sec. Notes 9.00% due 12/15/2019		21,000		15,540
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025*		15,000		14,813
Univision Communications, Inc. Company Guar. Notes 8.50% due 05/15/2021*		25,000		25,500
				106,650
Building & Construction Products-Misc. — 0.1%
Builders FirstSource, Inc. Company Guar. Notes 10.75% due 08/15/2023*		25,000		25,187
CPG Merger Sub LLC Company Guar. Notes 8.00% due 10/01/2021*		5,000		4,662
GCP Applied Technologies, Inc. Company Guar. Notes 9.50% due 02/01/2023*		20,000		21,700
Louisiana-Pacific Corp. Company Guar. Notes 7.50% due 06/01/2020		17,000		17,659
Nortek, Inc. Company Guar. Notes 8.50% due 04/15/2021		20,000		20,750
Owens Corning, Inc. Company Guar. Notes 9.00% due 06/15/2019		3,000		3,498
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024*		20,000		20,300
USG Corp. Company Guar. Notes 5.50% due 03/01/2025*		15,000		15,600
USG Corp. Company Guar. Notes 5.88% due 11/01/2021*		3,000		3,135
				132,491

Security Description	Principal Amount(17)		Value (Note 2)
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023	$	11,000	$	10,093
Building Products-Cement — 0.0%
Vulcan Materials Co. Senior Notes 4.50% due 04/01/2025		5,000		5,138
Building Products-Wood — 0.0%
Boise Cascade Co. Company Guar. Notes 6.38% due 11/01/2020		17,000		16,958
Building-Heavy Construction — 0.1%
MasTec, Inc. Company Guar. Notes 4.88% due 03/15/2023		15,000		12,863
SBA Tower Trust Mtg. Notes 5.10% due 04/15/2042*		55,000		55,534
				68,397
Building-Residential/Commercial — 0.2%
CalAtlantic Group, Inc. Company Guar. Notes 5.88% due 11/15/2024		5,000		5,263
Calatlantic Group, Inc. Company Guar. Notes 6.25% due 12/15/2021		19,000		20,377
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023		25,000		27,000
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		7,000		7,228
Lennar Corp. Company Guar. Notes 4.75% due 04/01/2021		10,000		10,125
Lennar Corp. Company Guar. Notes 4.75% due 11/15/2022		19,000		19,047
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026		35,000		36,006
PulteGroup, Inc. Company Guar. Bonds 7.88% due 06/15/2032		20,000		22,650
Taylor Morrison Communities, Inc./ Monarch Communities, Inc. Company Guar. Notes 5.25% due 04/15/2021*		6,000		5,880
Taylor Morrison Communities, Inc./ Monarch Communities, Inc. Company Guar. Notes 5.63% due 03/01/2024*		11,000		10,532
TRI Pointe Group Inc./ TRI Pointe Homes Inc. Company Guar. Notes 5.88% due 06/15/2024		25,000		24,844
				188,952

137

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV — 0.2%
Cablevision Systems Corp. Senior Notes 7.75% due 04/15/2018	$	14,000	$	14,569
Cablevision Systems Corp. Senior Notes 8.00% due 04/15/2020		6,000		5,820
Cablevision Systems Corp. Senior Notes 8.63% due 09/15/2017		42,000		44,415
CCO Holdings LLC/ CCO Holdings Capital Corp. Company Guar. Notes 5.13% due 02/15/2023		6,000		6,120
CCO Holdings LLC/ CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		11,000		11,330
CCO Holdings LLC/ CCO Holdings Capital Corp. Company Guar. Notes 5.88% due 04/01/2024*(2)		20,000		20,950
CCO Holdings LLC/ CCO Holdings Capital Corp. Company Guar. Notes 6.63% due 01/31/2022		14,000		14,735
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*		12,000		12,658
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		23,000		25,593
CCOH Safari LLC Senior Notes 5.75% due 02/15/2026*		10,000		10,350
Cequel Communications Holdings I LLC/ Cequel Capital Corp. Senior Notes 5.13% due 12/15/2021*		10,000		9,325
Cequel Communications Holdings I LLC/ Cequel Capital Corp. Senior Notes 5.13% due 12/15/2021*		5,000		4,650
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035		10,000		13,437
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024		6,000		5,347
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021		9,000		9,243
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		15,000		13,762

Security Description	Principal Amount(17)		Value (Note 2)
Cable/Satellite TV (continued)
WideOpenWest Finance LLC/ WideOpenWest Capital Corp. Company Guar. Notes 10.25% due 07/15/2019	$	30,000	$	30,000
				252,304
Casino Hotels — 0.1%
Boyd Gaming Corp. Company Guar. Notes 6.38% due 04/01/2026*		5,000		5,188
Boyd Gaming Corp. Company Guar. Notes 6.88% due 05/15/2023		10,000		10,650
MGM Resorts International Company Guar. Notes 6.63% due 12/15/2021		15,000		16,087
MGM Resorts International Company Guar. Notes 6.75% due 10/01/2020		20,000		21,640
MGM Resorts International Company Guar. Notes 8.63% due 02/01/2019		15,000		17,062
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 6.38% due 06/01/2021*		8,000		7,700
				78,327
Casino Services — 0.0%
CCM Merger, Inc. Company Guar. Notes 9.13% due 05/01/2019*		14,000		14,490
Eldorado Resorts, Inc. Company Guar. Notes 7.00% due 08/01/2023		15,000		15,525
Rivers Pittsburgh Borrower LP/ Rivers Pittsburgh Finance Corp. Secured Notes 9.50% due 06/15/2019*		12,000		12,360
Scientific Games Corp. Company Guar. Notes 8.13% due 09/15/2018		5,000		4,225
				46,600
Cellular Telecom — 0.2%
Crown Castle Towers LLC Senior Sec. Bonds 4.88% due 08/15/2040*		45,000		48,197
Sprint Communications, Inc. Senior Notes 7.00% due 08/15/2020		6,000		4,770
Sprint Communications, Inc. Senior Notes 8.38% due 08/15/2017		25,000		24,719
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		27,000		28,282

138

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cellular Telecom (continued)
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021	$	16,000	$	12,220
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		43,000		32,886
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023		5,000		5,106
T-Mobile USA, Inc. Company Guar. Notes 6.13% due 01/15/2022		3,000		3,098
T-Mobile USA, Inc. Company Guar. Notes 6.25% due 04/01/2021		17,000		17,847
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025		10,000		10,237
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019		6,000		6,120
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		6,000		6,270
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/01/2023		20,000		21,050
T-Mobile USA, Inc. Company Guar. Notes 6.84% due 04/28/2023		3,000		3,165
				223,967
Chemicals-Diversified — 0.1%
Blue Cube Spinco, Inc. Company Guar. Notes 9.75% due 10/15/2023*		15,000		17,138
Celanese US Holdings LLC Company Guar. Notes 5.88% due 06/15/2021		19,000		20,235
Eastman Chemical Co. Senior Notes 3.80% due 03/15/2025		15,000		15,380
				52,753
Chemicals-Plastics — 0.0%
A. Schulman, Inc. Company Guar. Notes 6.88% due 06/01/2023*		15,000		14,775
Chemicals-Specialty — 0.1%
Chemours Co. Senior Notes 6.63% due 05/15/2023*		10,000		8,150
Chemours Co. Senior Notes 7.00% due 05/15/2025*		5,000		4,000
Huntsman International LLC Company Guar. Notes 4.88% due 11/15/2020		14,000		13,860

Security Description	Principal Amount(17)		Value (Note 2)
Chemicals-Specialty (continued)
Huntsman International LLC Company Guar. Notes 5.13% due 11/15/2022*	$	5,000	$	4,850
INVISTA Finance LLC Senior Sec. Notes 4.25% due 10/15/2019*		11,000		10,560
Kraton Polymers LLC Company Guar. Notes 10.50% due 04/15/2023*		15,000		14,138
PQ Corp. Sec. Notes 8.75% due 11/01/2018*		14,000		13,125
W.R. Grace & Co. Company Guar. Notes 5.13% due 10/01/2021*		5,000		5,200
W.R. Grace & Co. Company Guar. Notes 5.63% due 10/01/2024*		25,000		26,062
				99,945
Commercial Services — 0.0%
TMS International Corp. Company Guar. Notes 7.63% due 10/15/2021*		15,000		8,775
Commercial Services-Finance — 0.0%
Syniverse Holdings, Inc. Company Guar. Notes 9.13% due 01/15/2019		15,000		6,750
Computers — 0.0%
Apple, Inc. Senior Notes 4.38% due 05/13/2045		28,000		29,318
Consumer Products-Misc. — 0.0%
Prestige Brands, Inc. Company Guar. Notes 5.38% due 12/15/2021*		10,000		10,125
Prestige Brands, Inc. Company Guar. Notes 6.38% due 03/01/2024*		5,000		5,213
Spectrum Brands, Inc. Company Guar. Notes 5.75% due 07/15/2025		10,000		10,625
Spectrum Brands, Inc. Company Guar. Notes 6.13% due 12/15/2024		5,000		5,337
				31,300
Containers-Metal/Glass — 0.0%
Crown Americas LLC/Crown Americas Capital Corp. IV Company Guar. Notes 4.50% due 01/15/2023		5,000		5,100
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		10,000		10,675
				15,775

139

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Containers-Paper/Plastic — 0.1%
Berry Plastics Corp. Sec. Notes 5.13% due 07/15/2023	$	15,000	$	15,112
Berry Plastics Corp. Sec. Notes 5.50% due 05/15/2022		6,000		6,180
Berry Plastics Corp. Sec. Notes 6.00% due 10/15/2022*		5,000		5,241
Pactiv LLC Senior Notes 7.95% due 12/15/2025		10,000		9,200
Sealed Air Corp. Company Guar. Notes 4.88% due 12/01/2022*		5,000		5,200
Sealed Air Corp. Company Guar. Notes 5.13% due 12/01/2024*		5,000		5,187
Sealed Air Corp. Company Guar. Notes 5.25% due 04/01/2023*		11,000		11,632
Sealed Air Corp. Senior Notes 5.50% due 09/15/2025*		5,000		5,244
Sealed Air Corp. Company Guar. Notes 6.50% due 12/01/2020*		12,000		13,560
Sealed Air Corp. Company Guar. Notes 6.88% due 07/15/2033*		10,000		10,575
WestRock MWV LLC Company Guar. Notes 7.95% due 02/15/2031		1,000		1,247
WestRock MWV LLC Company Guar. Notes 8.20% due 01/15/2030		20,000		25,763
				114,141
Cosmetics & Toiletries — 0.0%
Elizabeth Arden, Inc. Senior Notes 7.38% due 03/15/2021		26,000		16,640
Revlon Consumer Products Corp. Company Guar. Notes 5.75% due 02/15/2021		20,000		20,550
				37,190
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc. Company Guar. Notes 5.00% due 03/15/2022		14,000		14,563
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		10,000		10,250
First Data Corp. Sec. Notes 5.75% due 01/15/2024*		15,000		14,998

Security Description	Principal Amount(17)		Value (Note 2)
Data Processing/Management (continued)
First Data Corp. Company Guar. Notes 7.00% due 12/01/2023*	$	20,000	$	20,200
				60,011
Diagnostic Equipment — 0.0%
Crimson Merger Sub, Inc. Senior Notes 6.63% due 05/15/2022*		17,000		12,686
Dialysis Centers — 0.0%
Fresenius Medical Care U.S. Finance II, Inc. Company Guar. Notes 5.63% due 07/31/2019*		10,000		10,909
Disposable Medical Products — 0.0%
Sterigenics-Nordion Holdings LLC Senior Notes 6.50% due 05/15/2023*		10,000		9,975
Distribution/Wholesale — 0.1%
American Builders & Contractors Supply Co., Inc. Senior Notes 5.75% due 12/15/2023*		10,000		10,400
American Tire Distributors, Inc Senior Sub. Notes 10.25% due 03/01/2022*		20,000		18,000
Beacon Roofing Supply, Inc. Company Guar. Notes 6.38% due 10/01/2023*		20,000		21,200
HD Supply, Inc. Senior Sec. Notes 5.25% due 12/15/2021*		10,000		10,500
HD Supply, Inc. Company Guar. Notes 5.75% due 04/15/2024*		5,000		5,138
HD Supply, Inc. Company Guar. Notes 7.50% due 07/15/2020		20,000		21,225
Univar USA, Inc. Company Guar. Notes 6.75% due 07/15/2023*		10,000		9,762
				96,225
Diversified Banking Institutions — 0.0%
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		9,000		10,750
Diversified Financial Services — 0.0%
DFC Finance Corp. Senior Sec. Notes 10.50% due 06/15/2020*		10,000		6,400
Diversified Manufacturing Operations — 0.1%
Amsted Industries, Inc. Company Guar. Notes 5.00% due 03/15/2022*		15,000		14,887
Amsted Industries, Inc. Company Guar. Notes 5.38% due 09/15/2024*		15,000		14,419

140

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Manufacturing Operations (continued)
Parker-Hannifin Corp. Senior Notes 6.25% due 05/15/2038	$	15,000	$	19,708
				49,014
E-Commerce/Services — 0.0%
Expedia, Inc. Company Guar. Notes 5.00% due 02/15/2026*		15,000		15,022
Expedia, Inc. Company Guar. Notes 5.95% due 08/15/2020		15,000		16,728
Priceline Group, Inc. Senior Notes 3.65% due 03/15/2025		6,000		6,154
				37,904
Electric-Integrated — 0.3%
AES Corp. Senior Notes 4.88% due 05/15/2023		6,000		5,775
AES Corp. Senior Notes 5.50% due 04/15/2025		30,000		28,950
AES Corp. Senior Notes 7.38% due 07/01/2021		28,000		31,360
AES Corp. Senior Notes 8.00% due 06/01/2020		5,000		5,675
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035		20,000		22,837
Beaver Valley II Funding Corp. Senior Sec. Notes 9.00% due 06/01/2017		2,000		2,120
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036		25,000		30,951
Berkshire Hathaway Energy Co. Senior Notes 6.50% due 09/15/2037		5,000		6,520
Commonwealth Edison Co. 1st Mtg. Bonds 5.88% due 02/01/2033		25,000		30,522
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		10,000		10,378
DPL, Inc. Senior Notes 6.50% due 10/15/2016		2,000		2,040
Energy Future Intermediate Holding Co., LLC/ EFIH Finance, Inc. Sec. Notes 11.75% due 03/01/2022*(11)(12)		7,934		8,628

Security Description	Principal Amount(17)		Value (Note 2)
Electric-Integrated (continued)
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*	$	35,000	$	36,480
Midamerican Funding LLC Senior Sec. Bonds 6.93% due 03/01/2029		10,000		13,289
Pacific Gas & Electric Co. Senior Notes 5.80% due 03/01/2037		20,000		24,854
Pacific Gas & Electric Co. Senior Notes 6.35% due 02/15/2038		10,000		13,000
PacifiCorp 1st Mtg. Bonds 6.25% due 10/15/2037		15,000		19,591
Potomac Edison Co. 1st Mtg. Bonds 5.80% due 10/15/2016*		20,000		20,346
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Senior Sec. Notes 11.50% due 10/01/2020*(11)(12)		11,000		3,190
Texas-New Mexico Power Co. 1st Mtg. Bonds 9.50% due 04/01/2019*		25,000		29,580
Westar Energy, Inc. 1st. Mtg. Notes 4.13% due 03/01/2042		5,000		5,226
				351,312
Electric-Transmission — 0.0%
ITC Holdings Corp. Senior Notes 6.05% due 01/31/2018*		15,000		16,002
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022		20,000		21,610
				37,612
Electronic Components-Misc. — 0.0%
Jabil Circuit, Inc. Senior Notes 8.25% due 03/15/2018		5,000		5,425
Electronic Components-Semiconductors — 0.0%
Freescale Semiconductor, Inc. Senior Sec. Notes 6.00% due 01/15/2022*		6,000		6,360
Micron Technology, Inc. Senior Notes 5.25% due 08/01/2023*		15,000		12,262
Micron Technology, Inc. Company Guar. Notes 5.88% due 02/15/2022		15,000		12,975
				31,597
Engines-Internal Combustion — 0.0%
Briggs & Stratton Corp. Company Guar. Notes 6.88% due 12/15/2020		30,000		32,625

141

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Enterprise Software/Service — 0.0%
Infor US, Inc. Senior Sec. Notes 5.75% due 08/15/2020*	$	7,000	$	7,210
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022		35,000		31,850
				39,060
Finance-Auto Loans — 0.1%
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025		25,000		24,437
Ally Financial, Inc. Company Guar. Notes 6.25% due 12/01/2017		17,000		17,722
Ally Financial, Inc. Company Guar. Notes 7.50% due 09/15/2020		14,000		15,505
Ally Financial, Inc. Sub. Notes 8.00% due 12/31/2018		14,000		15,120
Ally Financial, Inc. Company Guar. Notes 8.00% due 03/15/2020		14,000		15,680
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031		31,000		35,340
Credit Acceptance Corp. Company Guar. Notes 6.13% due 02/15/2021		11,000		10,395
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023*		5,000		4,763
				138,962
Finance-Consumer Loans — 0.0%
Ocwen Financial Corp. Senior Notes 6.63% due 05/15/2019		5,000		3,925
OneMain Financial Holdings, Inc. Company Guar. Notes 6.75% due 12/15/2019*		15,000		15,015
OneMain Financial Holdings, Inc. Company Guar. Notes 7.25% due 12/15/2021*		10,000		9,950
TMX Finance LLC/ TitleMax Finance Corp. Senior Sec. Notes 8.50% due 09/15/2018*		7,000		5,600
				34,490
Finance-Credit Card — 0.0%
Alliance Data Systems Corp. Company Guar. Notes 5.38% due 08/01/2022*		15,000		14,063
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Senior Notes 6.40% due 10/02/2017		30,000		32,095

Security Description	Principal Amount(17)		Value (Note 2)
Finance-Investment Banker/Broker (continued)
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018	$	40,000	$	43,932
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022*		30,000		31,161
E*TRADE Financial Corp. Senior Notes 4.63% due 09/15/2023		10,000		9,975
E*TRADE Financial Corp. Senior Notes 5.38% due 11/15/2022		10,000		10,562
				127,725
Finance-Leasing Companies — 0.0%
Air Lease Corp. Senior Notes 3.75% due 02/01/2022		15,000		14,934
Finance-Mortgage Loan/Banker — 0.0%
PHH Corp. Senior Notes 7.38% due 09/01/2019		9,000		8,730
Walter Investment Management, Corp. Company Guar. Notes 7.88% due 12/15/2021		11,000		7,150
				15,880
Food-Dairy Products — 0.0%
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023*		10,000		10,287
WhiteWave Foods Co. Company Guar. Notes 5.38% due 10/01/2022		15,000		16,144
				26,431
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 7.25% due 06/01/2021*		5,000		4,980
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 8.25% due 02/01/2020*		6,000		6,150
				11,130
Food-Misc./Diversified — 0.0%
Campbell Soup Co. Senior Notes 8.88% due 05/01/2021		15,000		19,188
Kraft Foods Group, Inc. Company Guar. Notes 6.50% due 02/09/2040		9,000		11,229
				30,417
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 5.38% due 01/15/2022		14,000		14,630
Service Corp. International Senior Notes 5.38% due 05/15/2024		24,000		25,380
				40,010

142

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Gambling (Non-Hotel) — 0.1%
Isle of Capri Casinos, Inc. Company Guar. Notes 5.88% due 03/15/2021	$	11,000	$	11,330
Scientific Games International, Inc. Company Guar. Notes 6.25% due 09/01/2020		5,000		3,000
Scientific Games International, Inc. Senior Sec. Notes 7.00% due 01/01/2022*		15,000		15,300
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022		35,000		28,350
				57,980
Gas-Transportation — 0.0%
Southern Star Central Corp. Senior Notes 5.13% due 07/15/2022*		15,000		13,800
Home Decoration Products — 0.0%
Newell Rubbermaid, Inc. Senior Notes 4.20% due 04/01/2026		30,000		31,381
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Senior Sec. Notes 7.88% due 02/15/2021*		10,000		10,575
Kinetic Concepts, Inc./KCI USA, Inc. Sec. Notes 10.50% due 11/01/2018		22,000		22,055
				32,630
Hotels/Motels — 0.0%
Hyatt Hotels Corp. Senior Notes 3.38% due 07/15/2023		10,000		9,796
Human Resources — 0.0%
Ceridian HCM Holding, Inc. Senior Notes 11.00% due 03/15/2021*		31,000		29,140
Independent Power Producers — 0.2%
Calpine Corp. Senior Notes 5.75% due 01/15/2025		30,000		28,800
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		3,000		3,150
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		3,000		3,143
Dynegy, Inc. Company Guar. Notes 6.75% due 11/01/2019		35,000		34,825
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		6,000		4,380

Security Description	Principal Amount(17)		Value (Note 2)
Independent Power Producers (continued)
GenOn Energy, Inc. Senior Notes 9.88% due 10/15/2020	$	25,000	$	16,125
NRG Energy, Inc. Company Guar. Notes 7.88% due 05/15/2021		85,000		84,681
NRG Yield Operating LLC Company Guar. Notes 5.38% due 08/15/2024		5,000		4,650
				179,754
Insurance Brokers — 0.0%
HUB International, Ltd. Senior Notes 7.88% due 10/01/2021*		17,000		16,745
Wayne Merger Sub LLC Senior Notes 8.25% due 08/01/2023*		10,000		9,950
				26,695
Insurance-Life/Health — 0.1%
Aflac, Inc. Senior Notes 6.45% due 08/15/2040		16,000		20,002
Aflac, Inc. Senior Notes 6.90% due 12/17/2039		34,000		44,547
CNO Financial Group, Inc. Senior Notes 4.50% due 05/30/2020		5,000		5,100
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		15,000		15,337
OneAmerica Financial Partners, Inc. Senior Notes 7.00% due 10/15/2033*		20,000		22,340
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039*		15,000		19,308
				126,634
Insurance-Multi-line — 0.1%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		30,000		35,778
Hartford Financial Services Group, Inc. Senior Bonds 6.63% due 03/30/2040		25,000		31,115
Nationwide Mutual Insurance Co. Sub. Notes 8.25% due 12/01/2031*		15,000		20,679
				87,572
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		45,000		65,235

143

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance-Property/Casualty — 0.0%
Travelers Property Casualty Corp. Company Guar. Notes 7.75% due 04/15/2026	$	15,000	$	19,650
Insurance-Reinsurance — 0.0%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		25,000		26,442
Investment Management/Advisor Services — 0.0%
Neuberger Berman Group LLC/ Neuberger Berman Finance Corp. Senior Notes 5.88% due 03/15/2022*		15,000		15,600
Leisure Products — 0.0%
Gibson Brands, Inc. Senior Sec. Notes 8.88% due 08/01/2018*		7,000		4,060
Machinery-Construction & Mining — 0.1%
BlueLine Rental Finance Corp Sec. Notes 7.00% due 02/01/2019*		16,000		14,740
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2022		20,000		20,350
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		10,000		10,075
Terex Corp. Company Guar. Notes 6.00% due 05/15/2021		30,000		29,025
Vander Intermediate Holding II Corp. Senior Notes 9.75% due 02/01/2019*(13)		5,000		3,700
				77,890
Machinery-General Industrial — 0.0%
Manitowoc Foodservice, Inc. Senior Notes 9.50% due 02/15/2024*		20,000		21,800
Zebra Technologies Corp. Senior Notes 7.25% due 10/15/2022		10,000		10,850
				32,650
Medical Instruments — 0.0%
Medtronic, Inc. Company Guar. Notes 3.50% due 03/15/2025		12,000		12,808
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		13,000		14,074
				26,882
Medical Labs & Testing Services — 0.0%
Quest Diagnostics, Inc. Company Guar. Notes 4.75% due 01/30/2020		8,000		8,698

Security Description	Principal Amount(17)		Value (Note 2)
Medical Products — 0.0%
Halyard Health, Inc. Company Guar. Notes 6.25% due 10/15/2022	$	10,000	$	9,963
Medical-Biomedical/Gene — 0.0%
AMAG Pharmaceuticals, Inc. Company Guar. Notes 7.88% due 09/01/2023*		20,000		17,650
Medical-Drugs — 0.0%
AbbVie, Inc. Senior Notes 3.60% due 05/14/2025		4,000		4,199
Endo Finance LLC Company Guar. Notes 5.75% due 01/15/2022*		6,000		5,685
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 5.88% due 01/15/2023*		10,000		9,525
Valeant Pharmaceuticals International Company Guar. Notes 6.38% due 10/15/2020*		9,000		7,470
Valeant Pharmaceuticals International Company Guar. Notes 7.00% due 10/01/2020*		3,000		2,520
				29,399
Medical-HMO — 0.0%
Centene Corp. Senior Notes 4.75% due 05/15/2022		15,000		15,150
Centene Escrow Corp. Senior Notes 5.63% due 02/15/2021*		5,000		5,213
Centene Escrow Corp. Senior Notes 6.13% due 02/15/2024*		15,000		15,787
Molina Healthcare, Inc. Company Guar. Notes 5.38% due 11/15/2022*		10,000		10,275
				46,425
Medical-Hospitals — 0.2%
Acadia Healthcare Co., Inc. Company Guar. Notes 5.13% due 07/01/2022		10,000		10,100
Acadia Healthcare Co., Inc. Company Guar. Notes 6.13% due 03/15/2021		20,000		20,700
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		8,000		8,100
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022		18,000		16,245
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		6,000		6,146

144

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Hospitals (continued)
HCA, Inc. Senior Sec. Notes 5.00% due 03/15/2024	$	5,000	$	5,116
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026		30,000		30,750
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		5,000		5,055
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		49,000		53,777
HCA, Inc. Company Guar. Notes 7.50% due 02/15/2022		3,000		3,398
Tenet Healthcare Corp. FRS Senior Sec. Notes 4.13% due 06/15/2020*		15,000		14,887
Tenet Healthcare Corp. Senior Sec. Notes 4.38% due 10/01/2021		9,000		9,023
Tenet Healthcare Corp. Senior Sec. Notes 4.50% due 04/01/2021		6,000		6,030
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		14,000		14,910
Tenet Healthcare Corp. Senior Sec. Notes 6.25% due 11/01/2018		25,000		26,625
				230,862
Metal Processors & Fabrication — 0.0%
JMC Steel Group, Inc. Senior Notes 8.25% due 03/15/2018*		15,000		13,350
Metal-Diversified — 0.1%
Glencore Funding LLC Company Guar. Notes 2.88% due 04/16/2020*		20,000		17,800
Glencore Funding LLC Company Guar. Notes 4.00% due 04/16/2025*		16,000		12,550
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024*		34,000		28,237
Joseph T Ryerson & Son, Inc. Senior Sec. Notes 9.00% due 10/15/2017		16,000		13,760
				72,347
Multimedia — 0.1%
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 01/20/2024		20,000		24,247
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 12/01/2045		10,000		13,203

Security Description	Principal Amount(17)		Value (Note 2)
Multimedia (continued)
21st Century Fox America, Inc. Company Guar. Notes 7.85% due 03/01/2039	$	9,000	$	12,411
Historic TW, Inc. Company Guar. Notes 9.15% due 02/01/2023		10,000		13,342
NBCUniversal Media LLC Company Guar. Notes 6.40% due 04/30/2040		20,000		26,761
Time Warner, Inc. Company Guar. Notes 7.70% due 05/01/2032		45,000		57,773
				147,737
Non-Hazardous Waste Disposal — 0.0%
Republic Services, Inc. Company Guar. Notes 5.70% due 05/15/2041		5,000		5,877
Oil & Gas Drilling — 0.0%
Pride International, Inc. Company Guar. Notes 7.88% due 08/15/2040		45,000		24,188
Oil Companies-Exploration & Production — 0.3%
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		10,000		10,088
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022		6,000		5,445
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021		11,000		10,175
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		5,000		4,600
California Resources Corp. Company Guar. Notes 5.00% due 01/15/2020		6,000		1,380
California Resources Corp. Company Guar. Notes 6.00% due 11/15/2024		7,000		1,575
California Resources Corp. Sec. Notes 8.00% due 12/15/2022*		33,000		12,705
Chesapeake Energy Corp. Sec. Notes 8.00% due 12/15/2022*		16,000		7,840
Concho Resources, Inc. Company Guar. Notes 5.50% due 10/01/2022		6,000		5,895
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		14,000		13,720
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		10,000		8,362
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		10,000		8,619

145

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Denbury Resources, Inc. Company Guar. Notes 5.50% due 05/01/2022	$	9,000	$	4,050
Devon Financing Corp. LLC Company Guar. Bonds 7.88% due 09/30/2031		5,000		4,903
EOG Resources, Inc. Senior Notes 5.63% due 06/01/2019		15,000		16,358
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 6.38% due 06/15/2023		5,000		2,300
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		10,000		4,650
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 9.38% due 05/01/2020		38,000		19,166
Halcon Resources Corp. Sec. Notes 8.63% due 02/01/2020*(1)(2)		10,000		7,100
Halcon Resources Corp. Company Guar. Notes 8.88% due 05/15/2021		34,000		5,950
Kerr-McGee Corp. Company Guar. Notes 7.88% due 09/15/2031		15,000		16,387
Laredo Petroleum, Inc. Company Guar. Notes 7.38% due 05/01/2022		15,000		12,750
Linn Energy LLC/Linn Energy Finance Corp. Company Guar. Notes 6.25% due 11/01/2019†(19)		3,000		330
Linn Energy LLC/Linn Energy Finance Corp. Company Guar. Notes 6.50% due 09/15/2021†(19)		10,000		1,150
Linn Energy LLC/Linn Energy Finance Corp. Sec. Notes 12.00% due 12/15/2020*(2)(19)		8,000		1,100
Milagro Oil & Gas, Inc. Sec. Notes 10.50% due 05/15/2016(11)(12)		30,000		8,250
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026		10,000		9,100
Newfield Exploration Co. Senior Notes 5.75% due 01/30/2022		25,000		24,367
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022		20,000		14,800

Security Description	Principal Amount(17)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023	$	10,000	$	7,375
Samson Investment Co. Company Guar. Notes 9.75% due 02/15/2020(11)(12)		39,000		98
SandRidge Energy, Inc. Sec. Notes 8.75% due 06/01/2020*(19)		15,000		3,638
Seventy Seven Energy, Inc. Senior Notes 6.50% due 07/15/2022		5,000		225
SM Energy Co. Senior Notes 5.00% due 01/15/2024		10,000		6,922
SM Energy Co. Senior Notes 6.13% due 11/15/2022		10,000		7,290
SM Energy Co. Senior Notes 6.50% due 11/15/2021		6,000		4,425
SM Energy Co. Senior Notes 6.50% due 01/01/2023		13,000		9,165
Unit Corp. Company Guar. Notes 6.63% due 05/15/2021		12,000		6,030
Whiting Petroleum Corp. Company Guar. Notes 1.25% due 04/01/2020*(2)		1,000		582
Whiting Petroleum Corp. Company Guar. Notes 5.00% due 03/15/2019		10,000		6,925
Whiting Petroleum Corp. Company Guar. Notes 5.75% due 03/15/2021		5,000		3,325
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		26,000		18,980
				318,095
Oil Refining & Marketing — 0.0%
Motiva Enterprises LLC Senior Notes 6.85% due 01/15/2040*		20,000		20,726
Oil-Field Services — 0.0%
Archrock Partners LP/ Archrock Partners Finance Corp Company Guar. Notes 6.00% due 10/01/2022		26,000		18,720
Freeport-McMoran Oil & Gas LLC/ FCX Oil & Gas, Inc. Company Guar. Notes 6.75% due 02/01/2022		3,000		2,310
Key Energy Services, Inc. Company Guar. Notes 6.75% due 03/01/2021		25,000		4,688

146

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil-Field Services (continued)
Seventy Seven Operating LLC Company Guar. Notes 6.63% due 11/15/2019	$	20,000	$	5,000
				30,718
Paper & Related Products — 0.1%
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		45,000		50,270
Georgia-Pacific LLC Senior Notes 7.75% due 11/15/2029		10,000		13,672
International Paper Co. Senior Notes 8.70% due 06/15/2038		5,000		6,975
Mercer International, Inc. Company Guar. Notes 7.75% due 12/01/2022		15,000		14,944
				85,861
Physicians Practice Management — 0.0%
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023*		5,000		5,200
Pipelines — 0.2%
DCP Midstream Operating LP Company Guar. Notes 2.70% due 04/01/2019		10,000		8,933
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032		30,000		31,857
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		11,000		10,588
Energy Transfer Partners LP Senior Notes 5.20% due 02/01/2022		15,000		14,234
Energy Transfer Partners LP Senior Notes 6.50% due 02/01/2042		15,000		13,618
Enterprise Products Operating LLC Company Guar. Notes 4.85% due 08/15/2042		20,000		18,554
EQT Midstream Partners LP Company Guar. Notes 4.00% due 08/01/2024		20,000		17,366
Hiland Partners LP/ Hiland Partners Finance Corp. Company Guar. Notes 5.50% due 05/15/2022*		3,000		3,008
Hiland Partners LP/ Hiland Partners Finance Corp. Company Guar. Notes 7.25% due 10/01/2020*		11,000		11,413
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044		4,000		3,502

Security Description	Principal Amount(17)		Value (Note 2)
Pipelines (continued)
Kinder Morgan, Inc. Company Guar. Notes 3.05% due 12/01/2019	$	10,000	$	9,845
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032		24,000		25,104
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023		9,000		7,941
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.00% due 10/01/2022		5,000		4,699
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.50% due 04/15/2023		11,000		9,806
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		14,000		13,601
Rose Rock Midstream LP/ Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022		5,000		3,325
Rose Rock Midstream LP/ Rose Rock Finance Corp. Company Guar. Notes 5.63% due 11/15/2023		10,000		6,500
Sabine Pass LNG LP Senior Sec. Notes 6.50% due 11/01/2020		6,000		6,293
Spectra Energy Capital LLC Company Guar. Notes 8.00% due 10/01/2019		15,000		16,491
Williams Cos., Inc. Senior Bonds 7.75% due 06/15/2031		10,000		8,275
Williams Cos., Inc. Senior Notes 7.88% due 09/01/2021		6,000		5,548
Williams Partners LP/ ACMP Finance Corp. Senior Notes 4.88% due 05/15/2023		18,000		15,629
Williams Partners LP/ ACMP Finance Corp. Senior Notes 6.13% due 07/15/2022		6,000		5,571
				271,701
Poultry — 0.0%
Pilgrim's Pride Corp. Company Guar. Notes 5.75% due 03/15/2025*		10,000		10,038

147

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Private Equity — 0.0%
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. Company Guar. Notes 5.88% due 02/01/2022	$	14,000	$	13,286
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. Company Guar. Notes 6.00% due 08/01/2020		31,000		30,147
				43,433
Quarrying — 0.0%
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024*		25,000		24,250
Racetracks — 0.1%
GLP Capital LP/ GLP Financing II, Inc. Company Guar. Notes 4.38% due 11/01/2018		11,000		11,302
GLP Capital LP/ GLP Financing II, Inc. Company Guar. Notes 4.88% due 11/01/2020		17,000		17,680
Penn National Gaming, Inc. Senior Notes 5.88% due 11/01/2021		20,000		19,900
				48,882
Radio — 0.0%
Cumulus Media Holdings, Inc. Company Guar. Notes 7.75% due 05/01/2019		4,000		1,520
Entercom Radio LLC Company Guar. Notes 10.50% due 12/01/2019		15,000		15,562
Sirius XM Radio, Inc. Company Guar. Notes 6.00% due 07/15/2024*		9,000		9,473
Townsquare Media, Inc. Company Guar. Notes 6.50% due 04/01/2023*(2)		5,000		4,794
				31,349
Real Estate Investment Trusts — 0.3%
American Tower Corp. Senior Notes 4.00% due 06/01/2025		20,000		20,633
Corrections Corp of America Company Guar. Notes 4.13% due 04/01/2020		8,000		8,160
Corrections Corp of America Company Guar. Notes 4.63% due 05/01/2023		19,000		19,190
Crown Castle International Corp. Senior Notes 4.88% due 04/15/2022		11,000		11,772
Crown Castle International Corp. Senior Notes 5.25% due 01/15/2023		25,000		26,969

Security Description	Principal Amount(17)		Value (Note 2)
Real Estate Investment Trusts (continued)
DDR Corp. Senior Notes 7.88% due 09/01/2020	$	17,000	$	20,426
Duke Realty LP Company Guar. Notes 3.88% due 02/15/2021		10,000		10,325
EPR Properties Company Guar. Notes 5.25% due 07/15/2023		15,000		15,323
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		10,000		9,725
Healthcare Realty Trust , Inc. Senior Notes 3.88% due 05/01/2025		20,000		19,429
Hospitality Properties Trust Senior Notes 4.50% due 03/15/2025		10,000		9,616
Host Hotels & Resorts LP Senior Notes 5.25% due 03/15/2022		2,000		2,161
Host Hotels & Resorts LP Senior Notes 6.00% due 10/01/2021		3,000		3,367
Iron Mountain, Inc. Company Guar. Notes 6.00% due 10/01/2020*		5,000		5,269
Iron Mountain, Inc. Company Guar. Notes 6.00% due 08/15/2023		19,000		19,950
MPT Operating Partnership LP/ MPT Finance Corp. Company Guar. Notes 6.38% due 02/15/2022		25,000		26,125
MPT Operating Partnership LP/ MPT Finance Corp. Company Guar. Notes 6.38% due 03/01/2024		5,000		5,262
MPT Operating Partnership LP/ MPT Finance Corp. Company Guar. Notes 6.88% due 05/01/2021		10,000		10,362
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027		10,000		9,570
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024		15,000		15,277
Realty Income Corp. Senior Notes 4.65% due 08/01/2023		5,000		5,304
SL Green Realty Corp./ SL Green Operating Partnership Company Guar. Notes 5.00% due 08/15/2018		20,000		21,005
VEREIT Operating Partnership LP Company Guar. Notes 4.60% due 02/06/2024		25,000		24,875

148

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032	$	20,000	$	24,429
WP Carey, Inc. Senior Notes 4.60% due 04/01/2024		35,000		35,604
				380,128
Real Estate Management/Services — 0.1%
CBRE Services, Inc. Company Guar. Notes 4.88% due 03/01/2026		17,000		17,112
CBRE Services, Inc. Company Guar. Notes 5.00% due 03/15/2023		11,000		11,250
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025		13,000		13,404
Realogy Group LLC/ Realogy Co-Issuer Corp. Company Guar. Notes 5.25% due 12/01/2021*(2)		5,000		5,162
				46,928
Real Estate Operations & Development — 0.0%
Howard Hughes Corp. Senior Notes 6.88% due 10/01/2021*		29,000		28,565
Rental Auto/Equipment — 0.1%
Avis Budget Car Rental LLC/ Avis Budget Finance, Inc. Company Guar. Notes 5.50% due 04/01/2023		14,000		13,580
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024*		15,000		15,681
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042*		39,000		43,895
				73,156
Research & Development — 0.0%
Jaguar Holding Co. II/Pharmaceutical Product Development LLC Company Guar. Notes 6.38% due 08/01/2023*		10,000		10,268
Resorts/Theme Parks — 0.0%
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. Company Guar. Notes 5.25% due 03/15/2021		11,000		11,399
Six Flags Entertainment Corp. Company Guar. Notes 5.25% due 01/15/2021*		25,000		25,687
				37,086

Security Description	Principal Amount(17)		Value (Note 2)
Retail-Apparel/Shoe — 0.1%
L Brands, Inc. Company Guar. Notes 5.63% due 02/15/2022	$	16,000	$	17,431
L Brands, Inc. Company Guar. Notes 6.63% due 04/01/2021		32,000		35,997
				53,428
Retail-Auto Parts — 0.0%
O'Reilly Automotive, Inc. Company Guar. Notes 3.55% due 03/15/2026		10,000		10,288
O'Reilly Automotive, Inc. Company Guar. Notes 3.85% due 06/15/2023		10,000		10,464
				20,752
Retail-Automobile — 0.0%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020		17,000		18,484
Penske Automotive Group, Inc. Company Guar. Notes 5.38% due 12/01/2024		10,000		9,925
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022		14,000		14,280
				42,689
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc. Senior Notes 5.17% due 08/01/2044		25,000		21,143
Retail-Discount — 0.0%
Dollar General Corp. Senior Notes 3.25% due 04/15/2023		10,000		10,093
Dollar Tree, Inc. Company Guar. Notes 5.25% due 03/01/2020*		5,000		5,231
Dollar Tree, Inc. Company Guar. Notes 5.75% due 03/01/2023*		5,000		5,300
				20,624
Retail-Drug Store — 0.1%
CVS Health Corp. Senior Notes 4.75% due 12/01/2022*		2,000		2,244
CVS Pass-Through Trust Pass Through Certs. 7.51% due 01/10/2032*		68,679		82,677
Rite Aid Corp. Company Guar. Notes 6.13% due 04/01/2023*		15,000		15,900
				100,821
Retail-Fabric Store — 0.0%
Jo-Ann Stores Holdings, Inc. Senior Notes 9.75% due 10/15/2019*(13)		10,000		8,000

149

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Fabric Store (continued)
Jo-Ann Stores LLC Senior Notes 8.13% due 03/15/2019*	$	20,000	$	18,400
				26,400
Retail-Jewelry — 0.0%
Tiffany & Co. Senior Notes 4.90% due 10/01/2044		15,000		14,033
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024		15,000		14,911
Retail-Major Department Stores — 0.0%
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.00% due 10/15/2021*		10,000		8,600
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.75% due 10/15/2021*(13)		10,000		7,706
				16,306
Retail-Regional Department Stores — 0.1%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021		11,000		4,703
Bon-Ton Department Stores, Inc. Sec. Notes 10.63% due 07/15/2017		21,000		17,115
JC Penney Corp, Inc. Company Guar. Notes 8.13% due 10/01/2019		5,000		5,137
JC Penney Corp., Inc. Company Guar. Notes 5.65% due 06/01/2020		30,000		29,100
Macy's Retail Holdings, Inc. Company Guar. Notes 6.65% due 07/15/2024		5,000		5,741
Macy's Retail Holdings, Inc. Company Guar. Notes 6.90% due 04/01/2029		11,000		11,825
Macy's Retail Holdings, Inc. Company Guar. Notes 7.00% due 02/15/2028		4,000		4,525
Neiman-Marcus Group LLC Senior Sec. Notes 7.13% due 06/01/2028		15,000		13,650
				91,796
Retail-Restaurants — 0.1%
CEC Entertainment, Inc. Company Guar. Notes 8.00% due 02/15/2022		15,000		12,862
Landry's Holdings II, Inc. Senior Notes 10.25% due 01/01/2018*		3,000		2,985

Security Description	Principal Amount(17)		Value (Note 2)
Retail-Restaurants (continued)
Landry's, Inc. Company Guar. Notes 9.38% due 05/01/2020*	$	30,000	$	31,500
McDonald's Corp. Senior Notes 5.70% due 02/01/2039		18,000		21,166
McDonald's Corp. Senior Notes 6.30% due 10/15/2037		22,000		27,736
				96,249
Rubber/Plastic Products — 0.0%
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022*		25,000		21,375
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc. Company Guar. Notes 5.00% due 12/15/2021*		5,000		5,250
Special Purpose Entity — 0.0%
ROC Finance LLC/ROC Finance 1 Corp. Sec. Notes 12.13% due 09/01/2018*		25,000		25,906
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		15,000		15,187
Steel Dynamics, Inc. Company Guar. Notes 6.38% due 08/15/2022		23,000		23,690
				38,877
Telecom Services — 0.0%
Level 3 Communications, Inc. Senior Notes 5.75% due 12/01/2022		5,000		5,163
West Corp. Company Guar. Notes 5.38% due 07/15/2022*		25,000		22,932
				28,095
Telecommunication Equipment — 0.1%
Avaya, Inc. Senior Sec. Notes 7.00% due 04/01/2019*		31,000		20,925
Avaya, Inc. Sec. Notes 10.50% due 03/01/2021*		10,000		3,075
CommScope Technologies Finance LLC Senior Notes 6.00% due 06/15/2025*		10,000		10,094
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023*		15,000		14,737
				48,831
Telephone-Integrated — 0.2%
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		5,000		4,877

150

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2020	$	3,000	$	3,039
CenturyLink, Inc. Senior Notes 6.75% due 12/01/2023		14,000		13,615
Frontier Communications Corp. Senior Notes 7.63% due 04/15/2024		3,000		2,662
Frontier Communications Corp. Senior Notes 8.88% due 09/15/2020*		5,000		5,194
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*		20,000		20,500
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025*		10,000		10,050
Level 3 Financing, Inc. Company Guar. Notes 5.38% due 08/15/2022		10,000		10,155
Level 3 Financing, Inc. Company Guar. Notes 5.38% due 01/15/2024*		10,000		10,125
Level 3 Financing, Inc. Company Guar. Notes 6.13% due 01/15/2021		7,000		7,332
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028		84,000		61,320
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		5,000		5,055
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		71,000		71,121
Verizon Communications, Inc. Senior Notes 5.05% due 03/15/2034		10,000		10,839
Verizon New Jersey, Inc. Company Guar. Notes 8.00% due 06/01/2022		25,000		31,225
Windstream Corp. Company Guar. Notes 6.38% due 08/01/2023		26,000		19,045
Windstream Corp. Company Guar. Notes 7.75% due 10/01/2021		14,000		11,419
				297,573
Television — 0.1%
CBS Corp. Company Guar. Notes 4.60% due 01/15/2045		20,000		18,784
CBS Corp. Company Guar. Notes 7.88% due 07/30/2030		24,000		32,364

Security Description	Principal Amount(17)		Value (Note 2)
Television (continued)
Gray Television, Inc. Company Guar. Notes 7.50% due 10/01/2020	$	17,000	$	17,935
LIN Television Corp. Company Guar. Notes 5.88% due 11/15/2022		5,000		5,063
Sinclair Television Group, Inc. Company Guar. Notes 5.38% due 04/01/2021		6,000		6,187
Sinclair Television Group, Inc. Company Guar. Notes 5.63% due 08/01/2024*		10,000		10,050
Sinclair Television Group, Inc. Company Guar. Notes 6.38% due 11/01/2021		6,000		6,330
TEGNA, Inc. Company Guar. Notes 4.88% due 09/15/2021*		10,000		10,300
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		6,000		6,264
TEGNA, Inc. Company Guar. Notes 5.13% due 07/15/2020		6,000		6,247
Tribune Media Co. Company Guar. Notes 5.88% due 07/15/2022*		10,000		9,770
				129,294
Theaters — 0.1%
AMC Entertainment, Inc. Company Guar. Notes 5.75% due 06/15/2025		10,000		10,225
AMC Entertainment, Inc. Company Guar. Notes 5.88% due 02/15/2022		11,000		11,302
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023		3,000		3,025
Cinemark USA, Inc. Company Guar. Notes 5.13% due 12/15/2022		5,000		5,119
Cinemark USA, Inc. Company Guar. Notes 7.38% due 06/15/2021		5,000		5,213
Regal Entertainment Group Senior Notes 5.75% due 03/15/2022		18,000		18,630
Regal Entertainment Group Senior Notes 5.75% due 06/15/2023		6,000		6,120
				59,634
Transactional Software — 0.0%
ACI Worldwide, Inc. Company Guar. Notes 6.38% due 08/15/2020*		15,000		15,394

151

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Transport-Air Freight — 0.0%
Air Medical Merger Sub Corp. Senior Notes 6.38% due 05/15/2023*	$	35,000	$	32,812
Transport-Rail — 0.1%
Burlington Northern Santa Fe LLC Senior Notes 5.40% due 06/01/2041		15,000		17,805
Burlington Northern Santa Fe LLC Senior Notes 5.75% due 05/01/2040		15,000		18,553
Norfolk Southern Corp. Senior Notes 6.00% due 05/23/2111		20,000		22,358
Watco Cos. LLC/Watco Finance Corp. Company Guar. Notes 6.38% due 04/01/2023*		34,000		33,150
				91,866
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		10,000		10,263
Wire & Cable Products — 0.0%
Belden, Inc. Company Guar. Notes 5.25% due 07/15/2024*		5,000		4,775
Belden, Inc. Company Guar. Notes 5.50% due 09/01/2022*		15,000		15,075
				19,850
Total U.S. Corporate Bonds & Notes (cost $7,974,370)				7,806,586
FOREIGN CORPORATE BONDS & NOTES — 0.7%
Banks-Commercial — 0.1%
Barclays Bank PLC Sub. Notes 10.18% due 06/12/2021*		80,000		101,652
Commonwealth Bank of Australia Senior Notes 5.00% due 10/15/2019*		10,000		10,980
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026		10,000		10,172
				122,804
Building Products-Doors & Windows — 0.0%
Masonite International Corp. Company Guar. Notes 5.63% due 03/15/2023*		10,000		10,450
Building Products-Wood — 0.0%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		25,000		24,625
Building-Residential/Commercial — 0.1%
Brookfield Residential Properties, Inc. Company Guar. Notes 6.50% due 12/15/2020*		27,000		25,785

Security Description	Principal Amount(17)		Value (Note 2)
Building-Residential/Commercial (continued)
Brookfield Residential Properties, Inc./ Brookfield Residential US Corp. Company Guar. Notes 6.13% due 07/01/2022*	$	11,000	$	9,735
Mattamy Group Corp. Company Guar. Notes 6.50% due 11/15/2020*		25,000		22,500
				58,020
Cable/Satellite TV — 0.0%
Comcast Cable Communications Holdings, Inc. Company Guar. Notes 9.46% due 11/15/2022		10,000		14,138
Commercial Services — 0.0%
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.50% due 10/01/2021*		10,000		10,400
Containers-Metal/Glass — 0.0%
Novelis, Inc. Company Guar. Notes 8.75% due 12/15/2020		35,000		35,325
Diversified Banking Institutions — 0.0%
Royal Bank of Scotland PLC VRS Sub. Notes 9.50% due 03/16/2022		40,000		42,304
Diversified Manufacturing Operations — 0.0%
Bombardier, Inc. Senior Notes 4.75% due 04/15/2019*(2)		20,000		17,350
Diversified Minerals — 0.0%
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041*		5,000		3,900
Diversified Operations — 0.0%
DH Services Luxembourg Sarl Company Guar. Notes 7.75% due 12/15/2020*		7,000		6,913
Electric Products-Misc. — 0.1%
Legrand France SA Senior Notes 8.50% due 02/15/2025		51,000		68,825
Electric-Generation — 0.1%
Electricite de France SA Senior Notes 6.95% due 01/26/2039*		35,000		44,271
Electric-Integrated — 0.0%
Iberdrola International BV Company Guar. Notes 6.75% due 07/15/2036		10,000		12,491
Gambling (Non-Hotel) — 0.0%
Great Canadian Gaming Corp. Company Guar. Notes 6.63% due 07/25/2022*	CAD	24,000		18,664

152

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Gold Mining — 0.0%
New Gold, Inc. Company Guar. Notes 6.25% due 11/15/2022*	$	10,000	$	8,450
New Gold, Inc. Company Guar. Notes 7.00% due 04/15/2020*		15,000		14,325
				22,775
Hazardous Waste Disposal — 0.0%
Tervita Corp. Company Guar. Notes 10.88% due 02/15/2018*		3,000		480
Machinery-General Industrial — 0.0%
ATS Automation Tooling Systems, Inc. Senior Notes 6.50% due 06/15/2023*		5,000		5,144
Medical Products — 0.0%
Mallinckrodt International Finance SA/Mallinckrodt CB LLC Company Guar. Notes 5.50% due 04/15/2025*		10,000		8,825
Medical-Biomedical/Gene — 0.0%
Concordia Healthcare Corp. Company Guar. Notes 7.00% due 04/15/2023*		15,000		12,863
Medical-Drugs — 0.1%
DPx Holdings BV Senior Notes 7.50% due 02/01/2022*		25,000		24,875
JLL/Delta Dutch Pledgeco BV Senior Notes 8.75% due 05/01/2020*(13)		15,000		14,625
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.38% due 03/15/2020*		10,000		8,150
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.50% due 03/01/2023*		5,000		3,931
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.88% due 05/15/2023*		10,000		7,838
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 6.13% due 04/15/2025*		10,000		7,700
				67,119
Medical-Generic Drugs — 0.0%
Actavis Funding SCS Company Guar. Notes 4.75% due 03/15/2045		3,000		3,155

Security Description	Principal Amount(17)		Value (Note 2)
Metal-Copper — 0.0%
First Quantum Minerals, Ltd. Company Guar. Notes 7.00% due 02/15/2021*	$	30,000	$	20,100
Metal-Diversified — 0.0%
HudBay Minerals, Inc. Company Guar. Notes 9.50% due 10/01/2020		25,000		17,750
Multimedia — 0.0%
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023		1,000		1,030
Oil & Gas Drilling — 0.0%
Noble Holding International, Ltd. Company Guar. Notes 6.05% due 03/01/2041		25,000		12,250
Oil Companies-Exploration & Production — 0.0%
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024*		6,000		4,035
Lightstream Resources, Ltd. Senior Notes 8.63% due 02/01/2020*		13,000		585
Lone Pine Resources Canada, Ltd. Escrow Notes 10.38% due 02/15/2017(3)		10,000		0
Seven Generations Energy, Ltd. Senior Notes 6.75% due 05/01/2023*		10,000		9,425
Seven Generations Energy, Ltd. Senior Notes 8.25% due 05/15/2020*		14,000		14,035
				28,080
Oil Companies-Integrated — 0.1%
Petrobras Global Finance BV Company Guar. Notes 5.38% due 01/27/2021		50,000		41,332
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041		15,000		10,785
Statoil ASA Company Guar. Notes 5.10% due 08/17/2040		30,000		32,922
				85,039
Paper & Related Products — 0.0%
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025		10,000		11,125
Retail-Restaurants — 0.0%
1011778 B.C. ULC/ New Red Finance, Inc. Senior Sec. Notes 4.63% due 01/15/2022*		5,000		5,087
1011778 B.C. ULC/ New Red Finance, Inc. Sec. Notes 6.00% due 04/01/2022*		30,000		31,200
				36,287

153

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Satellite Telecom — 0.0%
Intelsat Jackson Holdings SA Company Guar. Notes 6.63% due 12/15/2022	$	11,000	$	5,885
Intelsat Jackson Holdings SA Company Guar. Notes 7.50% due 04/01/2021		12,000		7,620
Intelsat Luxembourg SA Company Guar. Notes 7.75% due 06/01/2021		1,000		297
Intelsat Luxembourg SA Company Guar. Notes 8.13% due 06/01/2023		8,000		2,390
				16,192
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		10,000		9,250
ArcelorMittal Senior Notes 8.00% due 10/15/2039		2,000		1,740
ArcelorMittal Senior Notes 10.85% due 06/01/2019		8,000		8,940
				19,930
Telephone-Integrated — 0.1%
Koninklijke KPN NV Senior Notes 8.38% due 10/01/2030		5,000		6,672
Telefonica Emisiones SAU Company Guar. Notes 5.46% due 02/16/2021		35,000		39,762
				46,434
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022		25,000		25,875
Total Foreign Corporate Bonds & Notes (cost $994,813)				930,933
LOANS(9)(10)(14) — 0.1%
Building & Construction Products-Misc. — 0.0%
CPG International, Inc. FRS BTL 4.75% due 09/30/2020		4,822		4,702
Casino Hotels — 0.1%
Caesars Entertainment Operating Co., Inc. FRS BTL-B6 11.25% due 03/01/2017(11)(12)		66,093		60,620
Caesars Entertainment Operating Co., Inc. FRS BTL 11.75% due 03/01/2017(11)(12)		4,975		4,558
				65,178

Security Description	Principal Amount(17)		Value (Note 2)
Electric-Integrated — 0.0%
TXU Energy FRS BTL 4.92% due 10/10/2017(1)(2)(11)(12)	$	71,120	$	19,973
Miscellaneous Manufacturing — 0.0%
Gates Global LLC FRS BTL-B 4.25% due 07/03/2021		9,745		9,172
Telecommunication Equipment — 0.0%
Avaya Inc. FRS BTL 6.25% due 04/30/2020		14,822		9,857
Total Loans (cost $167,786)				108,882
MUNICIPAL BONDS & NOTES — 0.1%
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049		25,000		36,320
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040		15,000		17,816
State of California General Obligation Bonds 7.50% due 04/01/2034		30,000		43,854
Total Municipal Bonds & Notes (cost $70,193)				97,990
U.S. GOVERNMENT AGENCIES — 2.0%
Federal Home Loan Mtg. Corp. — 0.1%
5.50% due 06/01/2035		5,928		6,673
7.50% due 10/01/2029		6,396		7,588
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 15.83% due 06/15/2034(5)(15)		21,070		28,229
Series 3065, Class DC 18.55% due 03/15/2035(5)(15)		34,717		47,512
Series 3072, Class SM 22.20% due 11/15/2035(5)(15)		20,816		31,948
Federal Home Loan Mtg. Corp., Structured Pass Through VRS Series T-56, Class 2IO 0.00% due 05/25/2043(5)(7)(8)		97,506		0
Series T-56, Class AIO 0.52% due 05/25/2043(5)(7)		165,132		2,654
				124,604
Federal National Mtg. Assoc. — 1.9%
Fannie Mae Connecticut Avenue Securities FRS Series 2015-C04, Class 1M2 6.13% due 04/25/2028(5)		15,000		15,181
3.50% due April TBA		1,000,000		1,046,719
4.00% due 05/01/2019		67,975		70,784
4.00% due 09/01/2020		8,070		8,404
4.00% due April TBA		1,000,000		1,068,438

154

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
4.50% due 04/01/2018	$	843	$	872
4.50% due 03/01/2020		4,321		4,510
4.50% due 04/01/2020		8,089		8,392
4.50% due 09/01/2020		5,649		5,850
4.50% due 11/01/2020		3,230		3,382
5.00% due 03/01/2021		2,230		2,302
5.50% due 03/01/2018		1,707		1,757
6.00% due 06/01/2036		2,640		3,030
6.50% due 01/01/2036		406		464
6.50% due 06/01/2036		19,546		22,354
6.50% due 07/01/2036		6,616		7,695
6.50% due 09/01/2036		21,664		24,777
6.50% due 11/01/2036		22,033		25,199
7.00% due 06/01/2033		6,012		7,207
7.00% due 04/01/2035		9,067		11,107
7.50% due 04/01/2024		7,882		8,799
Federal National Mtg. Assoc., REMIC Series 2001-50, Class BI 0.40% due 10/25/2041 VRS(5)(7)		120,866		2,008
Series 2005-75, Class GS 18.95% due 08/25/2035 FRS(5)(15)		12,317		18,127
Series 2005-122, Class SE 21.58% due 11/25/2035 FRS(5)(15)		14,716		21,610
Series 2006-8, Class HP 22.98% due 03/25/2036 FRS(5)(15)		22,812		36,747
				2,425,715
Government National Mtg. Assoc. — 0.0%
6.50% due 08/20/2037		23,121		27,397
6.50% due 09/20/2037		5,759		6,691
				34,088
Total U.S. Government Agencies (cost $2,576,024)				2,584,407
U.S. GOVERNMENT TREASURIES — 1.8%
United States Treasury Bonds — 0.4%
2.75% due 08/15/2042		190,000		196,190
3.75% due 11/15/2043		230,000		285,667
				481,857
United States Treasury Notes — 1.4%
0.75% due 12/31/2017		350,000		350,123
0.75% due 03/31/2018		90,000		89,993
1.00% due 08/31/2016		170,000		170,418
1.13% due 12/31/2019		490,000		491,455
1.75% due 05/31/2016		500,000		501,186
2.00% due 11/30/2020		30,000		31,077
2.75% due 11/15/2023		160,000		173,300
				1,807,552
Total U.S. Government Treasuries (cost $2,212,050)				2,289,409

Security Description	Shares/ Principal Amount(17)		Value (Note 2)
EQUITY CERTIFICATES(2) — 0.6%
Aerospace/Defense-Equipment — 0.0%
UBS AG - Bharat Electronics, Ltd.		2,589	$	47,865
Applications Software — 0.0%
UBS AG - HCL Technologies, Ltd.		3,473		42,695
Auto-Cars/Light Trucks — 0.1%
UBS AG - Tata Motors, Ltd.		12,101		70,644
Auto-Heavy Duty Trucks — 0.0%
UBS AG - Zhengzhou Yutong Bus Co.		16,841		50,464
Beverages-Wine/Spirits — 0.1%
UBS AG - Wuliangye Yibin Co., Ltd.		14,982		65,116
Broadcast Services/Program — 0.0%
UBS AG - Zee Entertainment Enterprise		7,602		44,420
Building-Heavy Construction — 0.0%
UBS AG - IRB Infrastructure Developers, Ltd.		14,266		50,129
Building Products-Air & Heating — 0.1%
UBS AG - Gree Electric Appliances(8)		16,201		53,381
Diversified Financial Services — 0.1%
UBS AG - Shriram Transport Finance Co., Ltd.		4,468		64,309
Electric-Transmission — 0.1%
UBS AG - Power Grid Corp of India, Ltd.		30,835		64,769
Food-Dairy Products — 0.0%
UBS AG - Kwality, Ltd.		22,561		38,480
Insurance-Life/Health — 0.0%
Merrill Lynch - Bupa Arabia for Cooperative Insurance Co.		1,047		31,815
Medical-Drugs — 0.1%
UBS AG - Aurobindo Pharma, Ltd.		11,424		128,502
Real Estate Operations & Development — 0.0%
UBS AG - China Fortune Land Development Co., Ltd.		8,334		31,299
Textile-Products — 0.0%
UBS AG - Welspun India, Ltd.		27,278		40,759
Total Equity Certificates (cost $810,821)				824,647
Total Long-Term Investment Securities (cost $121,632,446)				125,839,665
SHORT-TERM INVESTMENT SECURITIES — 0.4%
U.S. Government Treasuries — 0.4%
United States Treasury Bills
0.07% due 04/07/2016(16)	$	20,000		20,000
0.07% due 04/14/2016(16)		411,000		410,985
0.29% due 06/09/2016(16)		34,000		33,988
Total Short-Term Investment Securities (cost $464,971)				464,973

155

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)			Value (Note 2)
REPURCHASE AGREEMENTS — 3.7%
Agreement with Bank of America Securities LLC, bearing interest at 0.26%, dated 03/31/2016, to be repurchased 04/01/2016 in the amount $4,806,035 collateralized by $4,709,900 of United States Treasury Notes, bearing interest at 2.75% due 12/31/2017 and having an approximate value of $4,904,419 (cost $4,806,000)		4,806,000		$	4,806,000
TOTAL INVESTMENTS (cost $126,903,417)(18)		101.6	%		131,110,638
Liabilities in excess of other assets		(1.6	)		(2,039,352	)
NET ASSETS		100.0	%	$	129,071,286

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2016, the aggregate value of these securities was $3,971,773 representing 3.1% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2016, the Asset Allocation: Diversified Growth Portfolio held the following restricted securities:

Name	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value per Share		% of Net Assets
Common Stocks
LafargeHolcim, Ltd.	03/23/2016		287	$	9,159	$	13,500	$	47.04		0.01	%
ITT Educational Services, Inc.	01/30/2014		384		11,543
	09/24/2015		10		32
	01/30/2014		232		6,974
	03/14/2016		15		45
			641		18,594		1,981		3.09		0.01
U.S. Corporate Bonds & Notes
Halcon Resources Corp. Sec. Notes 8.63% due 02/01/2020	11/02/2015	$	5,000		4,388
	04/22/2015		5,000		5,063
			10,000		9,451		7,100		71.00		0.01

Name	Acquisition Date	Principal Amount		Acquisition Cost		Value		Value per Share		% of Net Assets
Loans
TXU Energy FRS BTL 4.92% due 10/10/2017	01/14/2010	$	25,308	$	24,672
	01/22/2010		44,884		43,651
	07/15/2014		928		928
			71,120		69,251	$	19,973	$	28.08		0.00	%
						$	42,554				0.03	%

(2)  Illiquid security. At March 31, 2016, the aggregate value of these securities was $1,194,539 representing 0.9% of net assets.

(3)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(4)  Perpetual maturity — maturity date reflects the next call date.

(5)  Collateralized Mortgage Obligation

(6)  Commercial Mortgage Backed Security

(7)  Interest Only

(8)  Fair valued security. Securities are classified as Level 2 based on the securities valuation inputs; see Note 2.

(9)  The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate ("LIBOR") or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.

(10)  Senior loans in the Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.

(11)  Security in default of interest

(12)  Company has filed for Chapter 11 bankruptcy protection.

(13)  PIK ("Payment-in-Kind") security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed.

(14)  All loans in the portfolio were purchased through assignment agreements unless otherwise indicated.

(15)  Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at March 31, 2016.

(16)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(17)  Denominated in United States Dollars unless otherwise indicated.

(18)  See Note 4 for cost of investments on a tax basis.

(19)  Subsequent to March 31, 2016, Company has filed for bankruptcy protection.

ADR — American Depositary Receipt

BATS — Better Alternative Trading System

BTL — Bank Term Loan

CAD — Canadian Dollar

CVA — Certification Van Aandelen (Dutch Cert.)

Euronext — Euro Stock Exchange, Amsterdam

GDR — Global Depositary Receipt

REMIC — Real Estate Mortgage Investment Conduit

156

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

RSP — Risparmio Shares-Savings Shares on the Italian Stock Exchange

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown for FRS and VRS are the current interest rates at March 31, 2016 and unless noted otherwise, the dates shown are the original maturity dates.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	29	Long	Euro Stoxx 50	June 2016	$	987,167	$	967,203	$	(19,964	)
	36	Short	Russell 2000 Mini Index	June 2016		3,845,833		3,994,560		(148,727	)
	29	Short	S&P 500 E-Mini Index	June 2016		2,870,263		2,974,675		(104,412	)
	6	Long	S&P MidCap 400 E-Mini Index	June 2016		828,541		864,720		36,179
	9	Long	U.S. Treasury 2 Year Notes	June 2016		1,969,219		1,968,750		(469	)
	43	Short	U.S. Treasury 2 Year Notes	June 2016		9,408,266		9,406,250		2,016
	8	Long	U.S. Treasury 5 Year Notes	June 2016		968,375		969,313		938
	53	Short	U.S. Treasury 5 Year Notes	June 2016		6,415,484		6,421,695		(6,211	)
	54	Short	U.S. Treasury 10 Year Notes	June 2016		7,089,571		7,041,094		48,477
	66	Long	U.S. Treasury 10 Year Notes	June 2016		8,664,625		8,605,781		(58,844	)
									$	(251,017	)

Over the Counter Total Return Swap Contracts@

Swap Counterparty	Notional Amount (000's)		Termination Date	Fixed Payments Received (Paid) by Portfolio	Total Return Received or Paid by Portfolio	Unrealized Appreciation (Depreciation)
Citibank N.A.	$	6,668	12/16/16	(3 Month USD LIBOR-BBA minus 42 bps)	Citibank U.S. Equity Custom Basket	$	61,602
Citibank N.A.		5,554	11/23/16	3 Month USD LIBOR-BBA plus 2 bps	Russell 1000 Index Total Return		(434,393	)
Goldman Sachs International		30	12/15/20	(1 Month USD LIBOR minus 100 bps)	Engro Corp, Ltd.		445
Goldman Sachs International		8	12/15/20	(1 Month USD LIBOR minus 100 bps)	Engro Corp, Ltd.		118
Goldman Sachs International		47	12/15/20	(1 Month USD LIBOR minus 100 bps)	Goldman Sachs U.S. Equity Custom Basket		431
Net Unrealized Appreciation (Depreciation)						$	(371,797	)

BBA — British Banker's Association

LIBOR — London Interbank Offered Rate

@  Fair valued total return swap contracts. Total return swap contracts are classified as Level 2 based on swaps valuation inputs. See Note 2.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	2,957,000	USD	3,220,025	06/15/2016	$	—	$	(152,129	)
	MXN	2,258,700	USD	129,083	04/20/2016		—		(1,448	)
	USD	125,847	MXN	2,258,700	04/20/2016		4,685		—
							4,685		(153,577	)
Barclays Bank PLC	USD	89,842	HKD	698,700	05/18/2016		253		—
Citibank N.A.	CAD	18,200	USD	13,093	04/20/2016		—		(921	)
	DKK	1,299,400	USD	192,267	06/15/2016		—		(6,605	)
							—		(7,526	)
Credit Suisse AG	CNH	4,827,800	USD	717,110	05/18/2016		—		(28,478	)
	USD	499,594	AUD	699,100	04/20/2016		35,909		—
	USD	23,188	CNH	153,800	05/18/2016		564		—
	USD	519,827	JPY	62,757,400	05/18/2016		38,471		—
	USD	415,506	CHF	409,700	06/15/2016		11,932		—
	USD	649,241	EUR	596,400	06/15/2016		30,892		—
	USD	629,994	GBP	447,900	06/15/2016		13,446		—
							131,214		(28,478	)

157

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
JPMorgan Chase Bank	KRW	76,639,200	USD	63,107	05/18/2016	$	—	$	(3,719	)
	NOK	450,600	USD	52,082	06/15/2016		—		(2,353	)
	USD	153,103	SGD	218,600	05/18/2016		9,047		—
	USD	681,643	EUR	626,100	06/15/2016		32,360		—
	USD	184,960	SEK	1,581,500	06/15/2016		10,349		—
							51,756		(6,072	)
State Street Bank and Trust Co.	AUD	155,800	USD	111,342	04/20/2016		—		(7,999	)
	USD	117,533	AUD	155,800	04/20/2016		1,809		—
	USD	11,211	ILS	43,900	04/20/2016		479		—
	USD	1,159,173	EUR	1,064,700	06/15/2016		55,008		—
							57,296		(7,999	)
UBS AG	AUD	155,800	USD	117,529	04/20/2016		—		(1,812	)
	USD	280,729	AUD	392,700	04/20/2016		20,075		—
	USD	1,159,299	EUR	1,064,700	06/15/2016		54,882		—
							74,957		(1,812	)
Net Unrealized Appreciation (Depreciation)						$	320,161	$	(205,464	)

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

CNH — Yuan Renminbi

DKK — Danish Krone

EUR — Euro Dollar

GBP — Pound Sterling

HKD — Hong Kong Dollar

ILS — New Israeli Sheqel

JPY — Japanese Yen

KRW — South Korean Won

MXN — Mexican Peso

NOK — Norwegian Krone

SEK — Swedish Krona

SGD — Singapore Dollar

USD — United States Dollar

The following is a summary of the inputs used to value the Fund's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Finance-Other Services	$	27,648	$	90,963	$	—	$	118,611
Oil Companies-Exploration & Production		1,531,085		—		854		1,531,939
Other Industries		106,261,028		—		—		106,261,028
Convertible Preferred Securities		25,830		—		—		25,830
Preferred Securities		80,622		—		—		80,622
Preferred Securities/Capital Securities		—		888,817		—		888,817
Asset Backed Securities		—		2,260,725		—		2,260,725
Convertible Bonds & Notes		—		29,239		—		29,239
U.S. Corporate Bonds & Notes		—		7,806,586		—		7,806,586
Foreign Corporate Bonds & Notes:
Oil Companies-Exploration & Production		—		28,080		0		28,080
Other Industries		—		902,853		—		902,853
Loans		—		108,882		—		108,882
Municipal Bonds & Notes		—		97,990		—		97,990
U.S. Government Agencies		—		2,584,407		—		2,584,407
U.S. Government Treasuries		—		2,289,409		—		2,289,409
Equity Certificates
Building Products-Air & Heating		—		—		53,381		53,381
Other Industries		—		771,266		—		771,266
Short-Term Investment Securities		—		464,973		—		464,973
Repurchase Agreements		—		4,806,000		—		4,806,000
Total Investments at Value*	$	107,926,213	$	23,130,190	$	54,235	$	131,110,638

158

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Other Financial Instruments:+
Futures Contracts	$	87,610	$	—	$	—	$	87,610
Over the Counter Total Return Swap Contracts		—		62,596		—		62,596
Forward Foreign Currency Contracts		—		320,161		—		320,161
Total Other Financial Instruments	$	87,610	$	382,757	$	—	$	470,367
LIABILITIES:
Other Financial Instruments:+
Futures Contracts	$	338,627	$	—	$	—	$	338,627
Over the Counter Total Return Swap Contracts		—		434,393		—		434,393
Forward Foreign Currency Contracts		—		205,464		—		205,464
Total Other Financial Instruments	$	338,627	$	639,857	$	—	$	978,484

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and Other written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $11,732,533 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing prodecures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

159

Seasons Series Trust Stock Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
E-Commerce/Products	7.3	%
Web Portals/ISP	6.7
Medical-Biomedical/Gene	6.5
Applications Software	5.5
Medical-HMO	5.2
Finance-Credit Card	4.9
Internet Content-Entertainment	4.8
Medical-Drugs	4.6
E-Commerce/Services	4.5
Airlines	2.9
Diagnostic Equipment	2.6
Computers	2.6
Real Estate Investment Trusts	2.5
Auto/Truck Parts & Equipment-Original	2.1
Retail-Drug Store	1.9
Registered Investment Companies	1.9
Machinery-General Industrial	1.8
Casino Hotels	1.7
Auto-Cars/Light Trucks	1.6
Medical Instruments	1.5
Aerospace/Defense	1.4
Internet Application Software	1.4
Hotels/Motels	1.3
Retail-Building Products	1.2
Tobacco	1.2
Finance-Other Services	1.1
Retail-Auto Parts	1.1
Athletic Footwear	1.0
Diversified Banking Institutions	1.0
Internet Security	0.9
Retail-Gardening Products	0.9
Apparel Manufacturers	0.9
Semiconductor Components-Integrated Circuits	0.9
Medical-Wholesale Drug Distribution	0.8
Retail-Restaurants	0.8
Medical Products	0.8
Transport-Rail	0.7
Networking Products	0.7
Semiconductor Equipment	0.7
Chemicals-Specialty	0.7
Data Processing/Management	0.6
Commercial Services-Finance	0.6
Finance-Investment Banker/Broker	0.6
Banks-Fiduciary	0.6
Transport-Services	0.6
Multimedia	0.6
Retail-Apparel/Shoe	0.5
Cruise Lines	0.5
Cellular Telecom	0.5
Machinery-Pumps	0.5
Retail-Automobile	0.4
Building Products-Cement	0.4
Retail-Discount	0.4
Internet Content-Information/News	0.3

Investment Management/Advisor Services	0.2	%
Computer Services	0.2
Real Estate Management/Services	0.1
	100.2	%

*  Calculated as a percentage of net assets

160

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.1%
Aerospace/Defense — 1.4%
Boeing Co.		54,000	$	6,854,760
Airlines — 2.9%
American Airlines Group, Inc.		227,200		9,317,472
United Continental Holdings, Inc.†		77,000		4,609,220
				13,926,692
Apparel Manufacturers — 0.9%
Hanesbrands, Inc.		146,800		4,160,312
Applications Software — 5.4%
Dropbox, Inc., Class A†(1)(2)(3)		38,413		392,197
Microsoft Corp.		264,300		14,597,289
NetSuite, Inc.†		31,600		2,164,284
Salesforce.com, Inc.†		84,100		6,209,103
ServiceNow, Inc.†		41,900		2,563,442
				25,926,315
Athletic Footwear — 1.0%
NIKE, Inc., Class B		75,600		4,647,132
Auto-Cars/Light Trucks — 1.6%
Ferrari NV†		53,160		2,216,772
Tesla Motors, Inc.†		23,350		5,365,129
				7,581,901
Auto/Truck Parts & Equipment-Original — 2.1%
BorgWarner, Inc.		76,400		2,933,760
Delphi Automotive PLC		35,200		2,640,704
Mobileye NV†		114,600		4,273,434
				9,847,898
Banks-Fiduciary — 0.6%
State Street Corp.		48,500		2,838,220
Building Products-Cement — 0.4%
Martin Marietta Materials, Inc.		12,000		1,914,120
Casino Hotels — 1.7%
Las Vegas Sands Corp.		53,400		2,759,712
MGM Resorts International†		251,380		5,389,587
				8,149,299
Cellular Telecom — 0.5%
T-Mobile US, Inc.†		58,200		2,229,060
Chemicals-Specialty — 0.7%
Ashland, Inc.		28,700		3,155,852
Commercial Services-Finance — 0.6%
PayPal Holdings, Inc.†		77,000		2,972,200
Computer Services — 0.2%
IHS, Inc., Class A†		8,700		1,080,192
Computers — 2.6%
Apple, Inc.		111,900		12,195,981
Cruise Lines — 0.5%
Royal Caribbean Cruises, Ltd.		31,300		2,571,295
Data Processing/Management — 0.6%
Fiserv, Inc.†		30,500		3,128,690
Diagnostic Equipment — 2.6%
Danaher Corp.		132,800		12,597,408

Security Description	Shares		Value (Note 2)
Diversified Banking Institutions — 1.0%
Morgan Stanley		183,600	$	4,591,836
E-Commerce/Products — 7.1%
Alibaba Group Holding, Ltd. ADR†		18,000		1,422,540
Amazon.com, Inc.†		54,500		32,353,380
Flipkart Online Services Pvt., Ltd.†(1)(2)(3)		922		99,617
				33,875,537
E-Commerce/Services — 3.7%
Priceline Group, Inc.†		13,900		17,916,544
Finance-Credit Card — 4.9%
MasterCard, Inc., Class A		124,800		11,793,600
Visa, Inc., Class A		154,300		11,800,864
				23,594,464
Finance-Investment Banker/Broker — 0.6%
TD Ameritrade Holding Corp.		90,800		2,862,924
Finance-Other Services — 1.1%
Intercontinental Exchange, Inc.		21,900		5,149,566
Hotels/Motels — 1.3%
Hilton Worldwide Holdings, Inc.		119,500		2,691,140
Marriott International, Inc., Class A		50,200		3,573,236
				6,264,376
Internet Application Software — 1.4%
Tencent Holdings, Ltd.		319,600		6,530,142
Internet Content-Entertainment — 4.8%
Facebook, Inc., Class A†		168,700		19,248,670
Netflix, Inc.†		35,000		3,578,050
				22,826,720
Internet Content-Information/News — 0.3%
LinkedIn Corp., Class A†		13,800		1,578,030
Internet Security — 0.9%
VeriSign, Inc.†		50,800		4,497,832
Investment Management/Advisor Services — 0.2%
BlackRock, Inc.		3,300		1,123,881
Machinery-General Industrial — 1.8%
Roper Technologies, Inc.		21,100		3,856,447
Wabtec Corp.		58,700		4,654,323
				8,510,770
Machinery-Pumps — 0.5%
Flowserve Corp.		49,022		2,177,067
Medical Instruments — 1.5%
Intuitive Surgical, Inc.†		11,800		7,092,390
Medical Products — 0.8%
Stryker Corp.		34,800		3,733,692
Medical-Biomedical/Gene — 6.5%
Alexion Pharmaceuticals, Inc.†		55,300		7,698,866
Biogen, Inc.†		12,700		3,306,064
BioMarin Pharmaceutical, Inc.†		19,600		1,616,608
Celgene Corp.†		46,500		4,654,185
Gilead Sciences, Inc.		43,500		3,995,910
Illumina, Inc.†		8,800		1,426,568
Incyte Corp.†		26,100		1,891,467

161

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description			Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Regeneron Pharmaceuticals, Inc.†				6,800	$	2,450,992
Vertex Pharmaceuticals, Inc.†				49,300		3,918,857
						30,959,517
Medical-Drugs — 4.6%
Allergan PLC†				49,717		13,325,648
Bristol-Myers Squibb Co.				135,800		8,674,904
						22,000,552
Medical-HMO — 5.2%
Aetna, Inc.				33,000		3,707,550
Anthem, Inc.				46,300		6,435,237
Cigna Corp.				27,600		3,787,824
Humana, Inc.				23,500		4,299,325
UnitedHealth Group, Inc.				52,500		6,767,250
						24,997,186
Medical-Wholesale Drug Distribution — 0.8%
McKesson Corp.				25,800		4,057,050
Multimedia — 0.6%
Walt Disney Co.				27,000		2,681,370
Networking Products — 0.7%
Palo Alto Networks, Inc.†				21,100		3,442,254
Real Estate Investment Trusts — 2.5%
American Tower Corp.				82,700		8,465,999
Crown Castle International Corp.				42,900		3,710,850
						12,176,849
Real Estate Management/Services — 0.0%
WeWork Cos., Inc., Class A†(1)(2)(3)				1,490		56,090
Retail-Apparel/Shoe — 0.5%
Ross Stores, Inc.				45,000		2,605,500
Retail-Auto Parts — 1.1%
AutoZone, Inc.†				6,400		5,098,816
Retail-Automobile — 0.4%
CarMax, Inc.†				37,500		1,916,250
Retail-Building Products — 1.2%
Lowe's Cos., Inc.				73,700		5,582,775
Retail-Discount — 0.4%
Costco Wholesale Corp.				11,000		1,733,380
Retail-Drug Store — 1.9%
CVS Health Corp.				35,500		3,682,415
Walgreens Boots Alliance, Inc.				63,700		5,366,088
						9,048,503
Retail-Gardening Products — 0.9%
Tractor Supply Co.				46,100		4,170,206
Retail-Restaurants — 0.8%
Starbucks Corp.				65,800		3,928,260
Semiconductor Components-Integrated Circuits — 0.9%
NXP Semiconductors NV†				51,100		4,142,677
Semiconductor Equipment — 0.7%
AS	ML	Holding NV		32,500		3,262,675

Security Description	Shares		Value (Note 2)
Tobacco — 1.2%
Philip Morris International, Inc.		56,600	$	5,553,026
Transport-Rail — 0.7%
Canadian Pacific Railway, Ltd.		20,800		2,759,952
Kansas City Southern		8,200		700,690
				3,460,642
Transport-Services — 0.6%
FedEx Corp.		16,500		2,684,880
Web Portals/ISP — 6.7%
Alphabet, Inc., Class A†		22,400		17,088,960
Alphabet, Inc., Class C†		19,966		14,873,672
				31,962,632
Total Common Stocks (cost $386,232,169)				463,624,188
CONVERTIBLE PREFERRED SECURITIES — 1.2%
Applications Software — 0.1%
Magic Leap, Inc., Series C(1)(2)(3)		26,666		614,198
E-Commerce/Products — 0.2%
Flipkart Online Services Pvt., Ltd., Series A†(1)(2)(3)		316		34,142
Flipkart Online Services Pvt., Ltd., Series C†(1)(2)(3)		556		60,073
Flipkart Online Services Pvt., Ltd., Series E†(1)(2)(3)		1,032		111,502
Flipkart Online Services Pvt., Ltd., Series G†(1)(2)(3)		4,576		494,414
Flipkart Online Services Pvt., Ltd., Series H†(1)(2)(3)		4,257		459,948
				1,160,079
E-Commerce/Services — 0.8%
Airbnb, Inc., Series D†(1)(2)(3)		13,329		1,216,977
Airbnb, Inc., Series E†(1)(2)(3)		8,841		807,209
Living Social, Inc., Series F†(1)(2)(3)		11,949		0
Uber Technologies, Inc., Series G†(1)(2)(3)		20,747		981,521
Xiaoju Kuaizhi, Inc., Series A-17†(1)(2)(3)		19,048		582,421
				3,588,128
Real Estate Management/Services — 0.1%
WeWork Companies, Inc., Series E†(1)(2)(3)		13,398		504,357
Total Convertible Preferred Securities (cost $5,417,334)				5,866,762
Total Long-Term Investment Securities (cost $391,649,503)				469,490,950

162

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 1.9%
Registered Investment Companies — 1.9%
State Street Institutional U.S. Government Money Market Fund 0.24%(4)	$	653,446		$	653,446
T. Rowe Price Reserve Investment Fund 0.33%(4)		8,240,647			8,240,647
Total Short-Term Investment Securities (cost $8,894,093)					8,894,093
TOTAL INVESTMENTS (cost $400,543,596)(5)		100.2	%		478,385,043
Liabilities in excess of other assets		(0.2	)		(1,181,673	)
NET ASSETS		100.0	%	$	477,203,370

†  Non-income producing security

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Illiquid security. At March 31, 2016, the aggregate value of these securities was $6,414,666 representing 1.3% of net assets.

(3)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2016, the Stock Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
Dropbox, Inc., Class A	11/07/2014		38,413	$	733,734	$	392,197	$	10.21		0.08	%
Flipkart Online Services Pvt., Ltd.	03/19/2015		922		105,108		99,617		108.05		0.02
WeWork Cos., Inc., Class A	06/23/2015		1,490		49,006		56,090		37.64		0.00
Convertible Preferred Securities
Airbnb, Inc., Series D	04/16/2014		13,329		542,664		1,216,977		91.30		0.26
Airbnb, Inc., Series E	07/14/2015		8,841		823,048		807,209		91.30		0.17
Flipkart Online Services Pvt., Ltd., Series A	03/19/2015		316		36,022		34,142		108.05		0.01

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Convertible Preferred Securities (continued)
Flipkart Online Services Pvt., Ltd., Series C	03/19/2015		556	$	63,384	$	60,073	$	108.05		0.01	%
Flipkart Online Services Pvt., Ltd., Series E	03/19/2015		1,032		117,648		111,502		108.05		0.02
Flipkart Online Services Pvt., Ltd., Series G	12/17/2014		4,576		548,022		494,414		108.05		0.10
Flipkart Online Services Pvt., Ltd., Series H	04/17/2015		4,257		605,516		459,948		108.05		0.10
Living Social, Inc., Series F	11/18/2011		11,949		91,888		0		0.00		0.00
Magic Leap, Inc., Series C	01/20/2016		26,666		614,198		614,198		23.03		0.13
Uber Technologies, Inc., Series G	12/03/2015		20,747		1,011,878		981,521		47.31		0.21
WeWork Cos., Inc., Series E	06/23/2015		13,398		440,655		504,357		37.64		0.11
Xiaoju Kuaizhi, Inc., Series A-17	10/19/2015		19,048		522,414		582,421		30.58		0.12
						$	6,414,666				1.34	%

(4)  The rate shown is the 7-day yield as of March 31, 2016.

(5)  See Note 4 for cost of investments on a tax basis.

ADR — American Depositary Receipt

163

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Applications Software	$	25,534,118	$	—	$	392,197	$	25,926,315
E-Commerce/Products		33,775,920		—		99,617		33,875,537
Real Estate Management/Services		—		—		56,090		56,090
Other Industries		403,766,246		—		—		403,766,246
Convertible Preferred Securities		—		—		5,866,762		5,866,762
Short-Term Investment Securities		8,894,093		—		—		8,894,093
Total Investment at Value	$	471,970,377	$	—	$	6,414,666	$	478,385,043

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $6,530,142 were transferred from Level 2 to Level 1 due to foreign equity securities whose value were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

	Common Stocks			Convertible Preferred Securities
Balance as of March 31, 2015	$	837,593		$	1,403,323
Accrued Discounts		—			—
Accrued Premiums		—			—
Realized Gain		—			—
Realized Loss		—			—
Change in unrealized appreciation(1)		7,084			733,396
Change in unrealized depreciation(1)		(345,778	)		(287,664	)
Net purchases		49,005			4,017,707
Net sales		—			—
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance as of March 31, 2016	$	547,904		$	5,866,762

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at March 31, 2016 includes:

Common Stocks			Convertible Preferred Securities
$	(338,694	)	$	445,732

Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at March 31, 2016.

164

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

The following is quantitative information about Level 3 fair value measurements:

Description	Value at March 31, 2016		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
Common Stocks	$	392,197	Market Approach with	Enterprise Value/Revenue Multiple*	4.7x - 11.0x (6.833x)
			Option Pricing Method ("OPM")	Estimated 2017 Revenue Multiple*	8.0x
			and Income Approach	Discount for Lack of Marketability	10% - 27.50% (15.833%)
				Weighted Average Cost of Capital	18%
				Perpetual Growth Rate*	3.0%
				OPM assumptions:
				Volatility*	41.5%
				Term to liquidity event in years	3.0
				Risk-free rate	0.91%
	$	56,090	Market Approach	Market Transaction Price*	$50.1923
				Discount for Lack of Marketability	25.0%
	$	99,617	Market Approach and	Enterprise Value/Revenue Multiple*	3.1x - 2.4x (2.75x)
			Income Approach	Discount for Lack of Marketability	8.25% - 10% (9.125%)
				Weighted Average Cost of Capital	18%
				Perpetual Growth Rate*	4.0%
Convertible Preferred Securities	$	2,024,186	Market Approach and	Transaction Price*	$93.0944
			Income Approach	Expected 2016 Revenue Multiple*	15.9x
				Projected 2017 Revenue Multiple*	17.6x
				Discount for Lack of Marketability	6% - 10% (7.33%)
				Weighted Average Cost of Capital	17%
				Perpetual Growth Rate*	3.5%
	$	1,485,878	Market Approach	Market Transaction Price*	$48.7722 - $50.1923 ($49.4823)
				Discount for Lack of Marketability	6% - 25% (15.5%)
	$	1,196,619	Market Approach	Market Transaction Price*	$23.033 - $30.5765 ($26.80)
	$	1,160,079	Market Approach and	Enterprise Value/Revenue Multiple*	3.1x - 2.4x (2.75x)
			Income Approach	Discount for Lack of Marketability	8.25% - 10% (9.125%)
				Weighted Average Cost of Capital	18%
				Perpetual Growth Rate*	4.0%
	$	0	Cost Approach	Net Tangible Assets*	$0.0000

(1)  The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship.

See Notes to Financial Statements

165

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Computers	6.0	%
Web Portals/ISP	5.2
Medical-Biomedical/Gene	5.1
Medical-Drugs	4.8
Applications Software	4.5
Real Estate Investment Trusts	3.8
Internet Content-Entertainment	3.7
Retail-Restaurants	3.3
Finance-Credit Card	2.7
E-Commerce/Products	2.7
Retail-Building Products	2.2
Beverages-Non-alcoholic	2.2
Retail-Apparel/Shoe	2.0
Cable/Satellite TV	2.0
Tobacco	1.9
Retail-Discount	1.8
Diversified Manufacturing Operations	1.8
Instruments-Controls	1.5
Aerospace/Defense	1.4
Electronic Components-Semiconductors	1.3
Diagnostic Equipment	1.3
Athletic Footwear	1.3
Commercial Services-Finance	1.3
E-Commerce/Services	1.2
Enterprise Software/Service	1.1
Multimedia	1.1
Computer Services	1.1
Cosmetics & Toiletries	0.9
Food-Misc./Diversified	0.9
Food-Retail	0.9
Retail-Drug Store	0.9
Electronic Connectors	0.9
Medical-HMO	0.9
Finance-Other Services	0.8
Auto/Truck Parts & Equipment-Original	0.8
Commercial Services	0.7
Medical Instruments	0.7
Coatings/Paint	0.7
Medical Products	0.7
Oil Companies-Exploration & Production	0.7
Medical Information Systems	0.7
Registered Investment Companies	0.6
Beverages-Wine/Spirits	0.6
Chemicals-Diversified	0.6
Pharmacy Services	0.6
Industrial Gases	0.6
Electronic Forms	0.6
Entertainment Software	0.5
Airlines	0.5
Exchange-Traded Funds	0.5
Retail-Gardening Products	0.5
Food-Confectionery	0.5
Medical-Wholesale Drug Distribution	0.4
Data Processing/Management	0.4
Finance-Consumer Loans	0.4
Semiconductor Components-Integrated Circuits	0.4
Commercial Paper	0.4
Apparel Manufacturers	0.4
Building Products-Cement	0.4
Retail-Auto Parts	0.4

Transport-Rail	0.4	%
Electronic Measurement Instruments	0.4
Building & Construction Products-Misc.	0.4
Chemicals-Specialty	0.4
Machinery-Pumps	0.4
Oil-Field Services	0.4
Containers-Metal/Glass	0.3
Telephone-Integrated	0.3
Medical-Hospitals	0.3
Investment Management/Advisor Services	0.3
Machinery-General Industrial	0.3
Finance-Investment Banker/Broker	0.3
Cellular Telecom	0.3
Recreational Vehicles	0.3
Cruise Lines	0.3
Banks-Commercial	0.3
Consulting Services	0.3
Hotels/Motels	0.3
Distribution/Wholesale	0.2
Electronic Design Automation	0.2
Aerospace/Defense-Equipment	0.2
Food-Wholesale/Distribution	0.2
Networking Products	0.2
Real Estate Management/Services	0.2
Computer Software	0.2
Metal Processors & Fabrication	0.2
Telecommunication Equipment	0.2
Toys	0.2
Retail-Major Department Stores	0.2
Computer Aided Design	0.2
Transport-Services	0.2
Wireless Equipment	0.2
Repurchase Agreements	0.2
Insurance Brokers	0.2
Consumer Products-Misc.	0.2
Semiconductor Equipment	0.2
Financial Guarantee Insurance	0.1
Tools-Hand Held	0.1
Electric-Integrated	0.1
Oil Refining & Marketing	0.1
Internet Content-Information/News	0.1
Agricultural Chemicals	0.1
Building-Residential/Commercial	0.1
Non-Hazardous Waste Disposal	0.1
Insurance-Multi-line	0.1
Diversified Banking Institutions	0.1
Medical-Generic Drugs	0.1
Instruments-Scientific	0.1
Advertising Agencies	0.1
Television	0.1
Disposable Medical Products	0.1
Broadcast Services/Program	0.1
Electronic Security Devices	0.1
Oil Field Machinery & Equipment	0.1
Textile-Home Furnishings	0.1
	100.3	%

*  Calculated as a percentage of net assets

166

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.6%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc.		4,506	$	103,413
Omnicom Group, Inc.		2,056		171,121
				274,534
Aerospace/Defense — 1.4%
Boeing Co.		17,350		2,202,409
General Dynamics Corp.		2,305		302,808
Lockheed Martin Corp.		2,714		601,151
Northrop Grumman Corp.		11,477		2,271,298
Raytheon Co.		2,932		359,551
Rockwell Collins, Inc.		2,296		211,714
Teledyne Technologies, Inc.†		10,688		942,041
				6,890,972
Aerospace/Defense-Equipment — 0.2%
Harris Corp.		1,222		95,145
United Technologies Corp.		10,015		1,002,501
				1,097,646
Agricultural Chemicals — 0.1%
Monsanto Co.		3,855		338,238
Airlines — 0.5%
Southwest Airlines Co.		11,172		500,505
United Continental Holdings, Inc.†		32,316		1,934,436
				2,434,941
Apparel Manufacturers — 0.4%
Carter's, Inc.		11,451		1,206,707
Hanesbrands, Inc.		6,858		194,356
Michael Kors Holdings, Ltd.†		2,073		118,078
Under Armour, Inc., Class A†		3,181		269,844
VF Corp.		3,032		196,352
				1,985,337
Applications Software — 4.5%
Citrix Systems, Inc.†		2,696		211,852
Intuit, Inc.		25,808		2,684,290
Microsoft Corp.		199,506		11,018,717
NetSuite, Inc.†		18,022		1,234,327
Red Hat, Inc.†		3,198		238,283
Salesforce.com, Inc.†		49,498		3,654,437
ServiceNow, Inc.†		39,563		2,420,464
				21,462,370
Athletic Footwear — 1.3%
NIKE, Inc., Class B		103,766		6,378,496
Audio/Video Products — 0.0%
Harman International Industries, Inc.		710		63,218
Auto/Truck Parts & Equipment-Original — 0.8%
BorgWarner, Inc.		51,968		1,995,571
Delphi Automotive PLC		22,866		1,715,407
				3,710,978
Banks-Commercial — 0.3%
First Republic Bank		11,956		796,748
PacWest Bancorp		13,322		494,912
				1,291,660

Security Description	Shares		Value (Note 2)
Banks-Fiduciary — 0.0%
Citizens Financial Group, Inc.		1,941	$	40,664
Northern Trust Corp.		2,337		152,302
				192,966
Banks-Super Regional — 0.0%
Huntington Bancshares, Inc.		6,821		65,072
Beverages-Non-alcoholic — 2.2%
Coca-Cola Co.		179,651		8,334,010
Coca-Cola Enterprises, Inc.		2,600		131,924
Dr Pepper Snapple Group, Inc.		3,280		293,298
Monster Beverage Corp.†		2,629		350,656
PepsiCo, Inc.		13,919		1,426,419
				10,536,307
Beverages-Wine/Spirits — 0.6%
Brown-Forman Corp., Class B		25,662		2,526,937
Constellation Brands, Inc., Class A		3,080		465,357
				2,992,294
Brewery — 0.0%
Molson Coors Brewing Co., Class B		1,770		170,239
Broadcast Services/Program — 0.1%
Discovery Communications, Inc., Class A†		2,628		75,240
Discovery Communications, Inc., Class C†		4,167		112,509
Scripps Networks Interactive, Inc., Class A		880		57,640
				245,389
Building & Construction Products-Misc. — 0.4%
Fortune Brands Home & Security, Inc.		32,338		1,812,221
Building Products-Cement — 0.4%
Martin Marietta Materials, Inc.		1,126		179,608
Vulcan Materials Co.		16,956		1,790,045
				1,969,653
Building Products-Wood — 0.0%
Masco Corp.		5,847		183,888
Building-Residential/Commercial — 0.1%
D.R. Horton, Inc.		5,762		174,185
Lennar Corp., Class A		3,154		152,528
				326,713
Cable/Satellite TV — 2.0%
Cablevision Systems Corp., Class A		3,896		128,568
Comcast Corp., Class A		123,283		7,530,126
Time Warner Cable, Inc.		8,965		1,834,418
				9,493,112
Casino Hotels — 0.0%
Wynn Resorts, Ltd.		470		43,912
Cellular Telecom — 0.3%
T-Mobile US, Inc.†		35,968		1,377,574
Chemicals-Diversified — 0.6%
E.I. du Pont de Nemours & Co.		6,868		434,882
LyondellBasell Industries NV, Class A		3,269		279,761
PPG Industries, Inc.		18,222		2,031,571
				2,746,214

167

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Specialty — 0.4%
Ashland, Inc.		9,679	$	1,064,303
Ecolab, Inc.		4,664		520,129
International Flavors & Fragrances, Inc.		1,398		159,051
				1,743,483
Coatings/Paint — 0.7%
Axalta Coating Systems, Ltd.†		28,280		825,776
Sherwin-Williams Co.		8,586		2,444,177
				3,269,953
Commercial Services — 0.7%
Aramark		25,297		837,837
Cintas Corp.		1,534		137,769
CoStar Group, Inc.†		3,896		733,110
Nielsen Holdings PLC		17,921		943,720
ServiceMaster Global Holdings, Inc.†		21,089		794,633
				3,447,069
Commercial Services-Finance — 1.3%
Automatic Data Processing, Inc.		4,726		423,969
Equifax, Inc.		2,078		237,495
FleetCor Technologies, Inc.†		10,587		1,574,816
H&R Block, Inc.		2,727		72,047
McGraw Hill Financial, Inc.		9,882		978,120
Moody's Corp.		2,969		286,687
PayPal Holdings, Inc.†		19,481		751,967
Sabre Corp.		57,961		1,676,232
Total System Services, Inc.		2,951		140,409
Western Union Co.		4,570		88,155
				6,229,897
Computer Aided Design — 0.2%
ANSYS, Inc.†		8,629		771,951
Autodesk, Inc.†		2,446		142,626
				914,577
Computer Services — 1.1%
Accenture PLC, Class A		10,994		1,268,708
Amdocs, Ltd.		18,671		1,128,102
Cognizant Technology Solutions Corp., Class A†		26,045		1,633,022
CSRA, Inc.		1,026		27,599
Hewlett Packard Enterprise Co.		16,831		298,414
International Business Machines Corp.		6,036		914,152
Teradata Corp.†		931		24,429
				5,294,426
Computer Software — 0.2%
Akamai Technologies, Inc.†		3,095		171,989
SS&C Technologies Holdings, Inc.		12,338		782,476
				954,465
Computers — 6.0%
Apple, Inc.		265,688		28,957,335
Computers-Memory Devices — 0.0%
SanDisk Corp.		1,478		112,446
Consulting Services — 0.3%
Verisk Analytics, Inc.†		15,736		1,257,621

Security Description	Shares		Value (Note 2)
Consumer Products-Misc. — 0.2%
Clorox Co.		2,266	$	285,652
Kimberly-Clark Corp.		3,475		467,422
				753,074
Containers-Metal/Glass — 0.3%
Ball Corp.		1,315		93,747
Crown Holdings, Inc.†		30,526		1,513,784
				1,607,531
Containers-Paper/Plastic — 0.0%
Sealed Air Corp.		1,956		93,908
Cosmetics & Toiletries — 0.9%
Colgate-Palmolive Co.		29,034		2,051,252
Estee Lauder Cos., Inc., Class A		24,166		2,279,096
				4,330,348
Cruise Lines — 0.3%
Norwegian Cruise Line Holdings, Ltd.†		21,412		1,183,870
Royal Caribbean Cruises, Ltd.		1,989		163,396
				1,347,266
Data Processing/Management — 0.4%
Dun & Bradstreet Corp.		361		37,212
Fidelity National Information Services, Inc.		21,711		1,374,523
Fiserv, Inc.†		3,903		400,370
Paychex, Inc.		5,625		303,806
				2,115,911
Dental Supplies & Equipment — 0.0%
DENTSPLY SIRONA, Inc.		2,281		140,578
Patterson Cos., Inc.		775		36,061
				176,639
Diagnostic Equipment — 1.3%
Abbott Laboratories		76,276		3,190,625
Danaher Corp.		26,896		2,551,354
Thermo Fisher Scientific, Inc.		4,579		648,341
				6,390,320
Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc.†		1,973		144,779
Disposable Medical Products — 0.1%
C.R. Bard, Inc.		1,291		261,647
Distribution/Wholesale — 0.2%
Fastenal Co.		21,289		1,043,161
WW Grainger, Inc.		408		95,239
				1,138,400
Diversified Banking Institutions — 0.1%
Morgan Stanley		12,572		314,426
Diversified Manufacturing Operations — 1.8%
3M Co.		20,654		3,441,576
A.O. Smith Corp.		11,169		852,306
Dover Corp.		13,745		884,216
General Electric Co.		89,853		2,856,427
Illinois Tool Works, Inc.		3,210		328,833
Pentair PLC		2,012		109,171
				8,472,529

168

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Products — 2.7%
Amazon.com, Inc.†		20,690	$	12,282,411
eBay, Inc.†		18,987		453,030
				12,735,441
E-Commerce/Services — 1.2%
Expedia, Inc.		2,075		223,726
Priceline Group, Inc.†		4,228		5,449,723
TripAdvisor, Inc.†		1,995		132,668
				5,806,117
Electric Products-Misc. — 0.0%
AMETEK, Inc.		4,124		206,117
Electric-Integrated — 0.1%
Dominion Resources, Inc.		4,282		321,664
TECO Energy, Inc.		2,185		60,153
				381,817
Electronic Components-Semiconductors — 1.3%
Broadcom, Ltd.		16,208		2,504,136
Intel Corp.		33,912		1,097,053
Microchip Technology, Inc.		3,563		171,737
Micron Technology, Inc.†		8,719		91,288
NVIDIA Corp.		8,949		318,853
Qorvo, Inc.†		2,260		113,927
Skyworks Solutions, Inc.		3,356		261,432
Texas Instruments, Inc.		29,986		1,721,796
Xilinx, Inc.		2,685		127,349
				6,407,571
Electronic Connectors — 0.9%
Amphenol Corp., Class A		46,557		2,691,926
TE Connectivity, Ltd.		23,180		1,435,305
				4,127,231
Electronic Design Automation — 0.2%
Cadence Design Systems, Inc.†		47,518		1,120,474
Electronic Forms — 0.6%
Adobe Systems, Inc.†		28,278		2,652,476
Electronic Measurement Instruments — 0.4%
Agilent Technologies, Inc.		26,538		1,057,539
FLIR Systems, Inc.		1,180		38,881
National Instruments Corp.		26,383		794,392
				1,890,812
Electronic Security Devices — 0.1%
Allegion PLC		1,683		107,224
Tyco International PLC		3,346		122,832
				230,056
Enterprise Software/Service — 1.1%
Oracle Corp.		87,289		3,570,993
Tyler Technologies, Inc.†		6,057		778,991
Ultimate Software Group, Inc.†		5,560		1,075,860
				5,425,844
Entertainment Software — 0.5%
Activision Blizzard, Inc.		8,880		300,499
Electronic Arts, Inc.†		34,528		2,282,646
				2,583,145

Security Description	Shares		Value (Note 2)
Finance-Consumer Loans — 0.4%
SLM Corp.†		162,707	$	1,034,817
Synchrony Financial†		37,261		1,067,900
				2,102,717
Finance-Credit Card — 2.7%
Alliance Data Systems Corp.†		1,038		228,360
MasterCard, Inc., Class A		79,715		7,533,067
Visa, Inc., Class A		70,018		5,354,977
				13,116,404
Finance-Investment Banker/Broker — 0.3%
Charles Schwab Corp.		21,040		589,541
E*TRADE Financial Corp.†		35,869		878,432
				1,467,973
Finance-Other Services — 0.8%
CME Group, Inc.		3,022		290,263
Intercontinental Exchange, Inc.		15,357		3,611,045
Nasdaq, Inc.		1,245		82,643
				3,983,951
Financial Guarantee Insurance — 0.1%
MGIC Investment Corp.†		58,849		451,372
Food-Confectionery — 0.5%
Hershey Co.		22,361		2,059,224
J.M. Smucker Co.		1,215		157,756
				2,216,980
Food-Meat Products — 0.0%
Hormel Foods Corp.		4,732		204,612
Food-Misc./Diversified — 0.9%
Campbell Soup Co.		3,148		200,811
ConAgra Foods, Inc.		4,333		193,339
General Mills, Inc.		6,441		408,037
Kellogg Co.		2,473		189,308
McCormick & Co., Inc.		21,261		2,115,044
Mondelez International, Inc., Class A		27,469		1,102,056
				4,208,595
Food-Retail — 0.9%
Kroger Co.		58,481		2,236,898
Whole Foods Market, Inc.		62,590		1,947,175
				4,184,073
Food-Wholesale/Distribution — 0.2%
Sysco Corp.		23,003		1,074,930
Gas-Distribution — 0.0%
AGL Resources, Inc.		1,138		74,129
Hazardous Waste Disposal — 0.0%
Stericycle, Inc.†		1,488		187,771
Home Decoration Products — 0.0%
Newell Rubbermaid, Inc.		4,678		207,189
Home Furnishings — 0.0%
Leggett & Platt, Inc.		1,473		71,293

169

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Hotels/Motels — 0.3%
Hilton Worldwide Holdings, Inc.		36,950	$	832,114
Marriott International, Inc., Class A		2,197		156,382
Starwood Hotels & Resorts Worldwide, Inc.		1,418		118,304
Wyndham Worldwide Corp.		1,970		150,567
				1,257,367
Human Resources — 0.0%
Robert Half International, Inc.		1,286		59,902
Industrial Automated/Robotic — 0.0%
Rockwell Automation, Inc.		1,105		125,694
Industrial Gases — 0.6%
Air Products & Chemicals, Inc.		15,751		2,268,931
Airgas, Inc.		822		116,428
Praxair, Inc.		2,444		279,716
				2,665,075
Instruments-Controls — 1.5%
Honeywell International, Inc.		51,159		5,732,366
Sensata Technologies Holding NV†		34,554		1,342,077
				7,074,443
Instruments-Scientific — 0.1%
PerkinElmer, Inc.		1,922		95,062
Waters Corp.†		1,423		187,722
				282,784
Insurance Brokers — 0.2%
Aon PLC		2,932		306,248
Marsh & McLennan Cos., Inc.		4,746		288,509
Willis Towers Watson PLC		1,452		172,294
				767,051
Insurance-Life/Health — 0.0%
Torchmark Corp.		1,047		56,705
Insurance-Multi-line — 0.1%
Assurant, Inc.		510		39,347
Cincinnati Financial Corp.		1,373		89,739
XL Group PLC		5,109		188,011
				317,097
Insurance-Property/Casualty — 0.0%
Progressive Corp.		4,706		165,369
Internet Content-Entertainment — 3.7%
Facebook, Inc., Class A†		132,026		15,064,167
Netflix, Inc.†		24,058		2,459,449
				17,523,616
Internet Content-Information/News — 0.1%
LinkedIn Corp., Class A†		3,029		346,366
Internet Infrastructure Software — 0.0%
F5 Networks, Inc.†		807		85,421
Internet Security — 0.0%
VeriSign, Inc.†		1,687		149,367
Investment Management/Advisor Services — 0.3%
Affiliated Managers Group, Inc.†		586		95,167
Ameriprise Financial, Inc.		1,420		133,494

Security Description	Shares		Value (Note 2)
Investment Management/Advisor Services (continued)
BlackRock, Inc.		3,109	$	1,058,832
T. Rowe Price Group, Inc.		2,911		213,842
				1,501,335
Machinery-General Industrial — 0.3%
Roper Technologies, Inc.		8,170		1,493,231
Machinery-Pumps — 0.4%
Xylem, Inc.		42,209		1,726,348
Medical Information Systems — 0.7%
athenahealth, Inc.†		8,075		1,120,649
Cerner Corp.†		39,074		2,069,359
				3,190,008
Medical Instruments — 0.7%
Boston Scientific Corp.†		88,554		1,665,701
Edwards Lifesciences Corp.†		3,757		331,405
Intuitive Surgical, Inc.†		419		251,840
Medtronic PLC		13,787		1,034,025
St. Jude Medical, Inc.		2,533		139,315
				3,422,286
Medical Labs & Testing Services — 0.0%
Laboratory Corp. of America Holdings†		1,781		208,608
Medical Products — 0.7%
Becton Dickinson and Co.		3,709		563,100
Henry Schein, Inc.†		990		170,904
Stryker Corp.		21,280		2,283,131
Varian Medical Systems, Inc.†		920		73,618
Zimmer Biomet Holdings, Inc.		1,379		147,043
				3,237,796
Medical-Biomedical/Gene — 5.1%
Alder Biopharmaceuticals, Inc.†		23,912		585,605
Alexion Pharmaceuticals, Inc.†		12,760		1,776,447
Amgen, Inc.		34,090		5,111,114
Biogen, Inc.†		20,584		5,358,427
Celgene Corp.†		39,054		3,908,915
Gilead Sciences, Inc.		45,560		4,185,141
Illumina, Inc.†		2,574		417,271
Regeneron Pharmaceuticals, Inc.†		4,530		1,632,793
Vertex Pharmaceuticals, Inc.†		19,581		1,556,494
				24,532,207
Medical-Drugs — 4.8%
AbbVie, Inc.		54,584		3,117,838
Allergan PLC†		25,314		6,784,911
Baxalta, Inc.		7,276		293,950
Bristol-Myers Squibb Co.		60,687		3,876,686
Eli Lilly & Co.		10,566		760,858
Endo International PLC†		1,217		34,259
Ironwood Pharmaceuticals, Inc.†		72,299		790,951
Johnson & Johnson		23,674		2,561,527
Mallinckrodt PLC†		22,041		1,350,672
Pfizer, Inc.		55,066		1,632,156
Zoetis, Inc.		34,629		1,535,104
				22,738,912

170

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Generic Drugs — 0.1%
Mylan NV†		3,608	$	167,231
Perrigo Co. PLC		1,077		137,780
				305,011
Medical-HMO — 0.9%
Aetna, Inc.		16,593		1,864,224
Centene Corp.†		2,976		183,232
Cigna Corp.		4,478		614,561
Humana, Inc.		1,220		223,199
UnitedHealth Group, Inc.		9,488		1,223,003
				4,108,219
Medical-Hospitals — 0.3%
HCA Holdings, Inc.†		2,248		175,457
Universal Health Services, Inc., Class B		10,717		1,336,624
				1,512,081
Medical-Wholesale Drug Distribution — 0.4%
AmerisourceBergen Corp.		3,418		295,828
McKesson Corp.		11,622		1,827,559
				2,123,387
Metal Processors & Fabrication — 0.2%
Rexnord Corp.†		46,776		945,811
Multimedia — 1.1%
Twenty-First Century Fox, Inc., Class A		10,388		289,618
Twenty-First Century Fox, Inc., Class B		4,001		112,828
Walt Disney Co.		49,874		4,952,987
				5,355,433
Networking Products — 0.2%
Cisco Systems, Inc.		36,124		1,028,450
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.		1,958		93,299
Waste Management, Inc.		3,846		226,914
				320,213
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		1,566		112,924
Oil Companies-Exploration & Production — 0.7%
Anadarko Petroleum Corp.		30,404		1,415,914
Apache Corp.		2,782		135,789
Cabot Oil & Gas Corp.		3,368		76,487
California Resources Corp.		513		529
Cimarex Energy Co.		1,079		104,954
Concho Resources, Inc.†		1,447		146,205
Devon Energy Corp.		4,467		122,574
EOG Resources, Inc.		5,103		370,376
Newfield Exploration Co.†		2,116		70,357
Occidental Petroleum Corp.		5,483		375,202
Pioneer Natural Resources Co.		2,859		402,376
				3,220,763
Oil Field Machinery & Equipment — 0.1%
Cameron International Corp.†		3,355		224,953

Security Description	Shares		Value (Note 2)
Oil Refining & Marketing — 0.1%
Phillips 66		3,101	$	268,516
Tesoro Corp.		919		79,043
				347,559
Oil-Field Services — 0.4%
Baker Hughes, Inc.		7,186		314,963
Halliburton Co.		38,231		1,365,611
				1,680,574
Pharmacy Services — 0.6%
Diplomat Pharmacy, Inc.†		31,221		855,455
Express Scripts Holding Co.†		27,294		1,874,825
				2,730,280
Pipelines — 0.0%
Williams Cos., Inc.		4,422		71,062
Real Estate Investment Trusts — 3.8%
American Tower Corp.		71,314		7,300,414
Apartment Investment & Management Co., Class A		1,481		61,935
AvalonBay Communities, Inc.		2,399		456,290
Boston Properties, Inc.		1,721		218,705
Crown Castle International Corp.		5,844		505,506
Equinix, Inc.		12,660		4,186,789
Equity Residential		6,393		479,667
Essex Property Trust, Inc.		1,145		267,770
Extra Space Storage, Inc.		2,190		204,677
Federal Realty Investment Trust		805		125,620
General Growth Properties, Inc.		6,220		184,921
Host Hotels & Resorts, Inc.		6,322		105,577
Iron Mountain, Inc.		1,314		44,558
Kimco Realty Corp.		7,244		208,482
Macerich Co.		1,043		82,647
Prologis, Inc.		9,188		405,926
Public Storage		2,579		711,366
Realty Income Corp.		3,157		197,344
Simon Property Group, Inc.		7,679		1,594,851
SL Green Realty Corp.		736		71,304
UDR, Inc.		4,677		180,205
Ventas, Inc.		2,707		170,433
Vornado Realty Trust		1,521		143,628
Welltower, Inc.		3,731		258,707
Weyerhaeuser Co.		6,911		214,103
				18,381,425
Real Estate Management/Services — 0.2%
CBRE Group, Inc., Class A†		5,091		146,723
Jones Lang LaSalle, Inc.		7,501		880,017
				1,026,740
Recreational Vehicles — 0.3%
Polaris Industries, Inc.		13,903		1,369,167
Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		653		40,610

171

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Apparel/Shoe — 2.0%
Kate Spade & Co.†		94,897	$	2,421,771
L Brands, Inc.		27,239		2,391,857
PVH Corp.		23,591		2,336,924
Ross Stores, Inc.		42,674		2,470,825
				9,621,377
Retail-Auto Parts — 0.4%
Advance Auto Parts, Inc.		1,284		205,877
AutoZone, Inc.†		1,604		1,277,891
O'Reilly Automotive, Inc.†		1,702		465,769
				1,949,537
Retail-Automobile — 0.0%
CarMax, Inc.†		1,988		101,587
Retail-Building Products — 2.2%
Home Depot, Inc.		45,948		6,130,842
Lowe's Cos., Inc.		59,610		4,515,457
				10,646,299
Retail-Discount — 1.8%
Costco Wholesale Corp.		38,736		6,104,019
Dollar General Corp.		2,700		231,120
Dollar Tree, Inc.†		27,221		2,244,644
				8,579,783
Retail-Drug Store — 0.9%
CVS Health Corp.		8,847		917,699
Walgreens Boots Alliance, Inc.		38,632		3,254,360
				4,172,059
Retail-Gardening Products — 0.5%
Tractor Supply Co.		25,544		2,310,710
Retail-Jewelry — 0.0%
Signet Jewelers, Ltd.		1,393		172,774
Retail-Major Department Stores — 0.2%
TJX Cos., Inc.		11,723		918,497
Retail-Restaurants — 3.3%
Chipotle Mexican Grill, Inc.†		2,347		1,105,367
Dunkin' Brands Group, Inc.		21,831		1,029,768
McDonald's Corp.		42,584		5,351,957
Starbucks Corp.		101,372		6,051,908
Yum! Brands, Inc.		28,576		2,338,946
				15,877,946
Rubber-Tires — 0.0%
Goodyear Tire & Rubber Co.		2,198		72,490
Security Services — 0.0%
ADT Corp.		1,737		71,669
Semiconductor Components-Integrated Circuits — 0.4%
Analog Devices, Inc.		5,428		321,283
Linear Technology Corp.		2,473		110,197
NXP Semiconductors NV†		20,036		1,624,319
				2,055,799

Security Description	Shares		Value (Note 2)
Semiconductor Equipment — 0.2%
Applied Materials, Inc.		19,798	$	419,322
KLA-Tencor Corp.		1,417		103,172
Lam Research Corp.		2,782		229,793
				752,287
Soap & Cleaning Preparation — 0.0%
Church & Dwight Co., Inc.		2,271		209,341
Telecom Services — 0.0%
Level 3 Communications, Inc.†		2,075		109,664
Telecommunication Equipment — 0.2%
CommScope Holding Co., Inc.†		27,876		778,298
Juniper Networks, Inc.		6,163		157,218
				935,516
Telephone-Integrated — 0.3%
Verizon Communications, Inc.		28,532		1,543,011
Television — 0.1%
CBS Corp., Class B		4,062		223,776
TEGNA, Inc.		1,962		46,028
				269,804
Textile-Home Furnishings — 0.1%
Mohawk Industries, Inc.†		1,114		212,663
Tobacco — 1.9%
Altria Group, Inc.		63,649		3,988,246
Philip Morris International, Inc.		34,527		3,387,444
Reynolds American, Inc.		32,033		1,611,580
				8,987,270
Tools-Hand Held — 0.1%
Snap-on, Inc.		1,017		159,659
Stanley Black & Decker, Inc.		2,667		280,595
				440,254
Toys — 0.2%
Hasbro, Inc.		1,967		157,557
Mattel, Inc.		23,007		773,495
				931,052
Transport-Rail — 0.4%
Kansas City Southern		17,166		1,466,835
Union Pacific Corp.		5,928		471,572
				1,938,407
Transport-Services — 0.2%
C.H. Robinson Worldwide, Inc.		1,204		89,373
Expeditors International of Washington, Inc.		2,009		98,059
United Parcel Service, Inc., Class B		6,526		688,297
				875,729
Transport-Truck — 0.0%
J.B. Hunt Transport Services, Inc.		920		77,501
Vitamins & Nutrition Products — 0.0%
Mead Johnson Nutrition Co.		1,632		138,671
Water — 0.0%
American Water Works Co., Inc.		1,714		118,146

172

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
COMMON STOCKS (continued)
Web Portals/ISP — 5.2%
Alphabet, Inc., Class A†		11,715	$	8,937,373
Alphabet, Inc., Class C†		21,648		16,126,678
				25,064,051
Wireless Equipment — 0.2%
Motorola Solutions, Inc.		11,051		836,561
X-Ray Equipment — 0.0%
Hologic, Inc.†		4,323		149,143
Total Common Stocks (cost $392,357,196)				472,502,332
EXCHANGE-TRADED FUNDS — 0.5%
iShares S&P 500 Growth Index Fund (cost $2,350,875)		20,152		2,335,415
Total Long-Term Investment Securities (cost $394,708,071)				474,837,747
SHORT-TERM INVESTMENT SECURITIES — 1.0%
Commercial Paper — 0.4%
BNP Paribas SA NY 0.34% due 04/01/2016	$	2,000,000		2,000,000

Security Description	Shares/ Principal Amount			Value (Note 2)
Registered Investment Companies — 0.6%
SSgA U.S. Government Money Market Fund 0.00%(1)		3,097,915		$	3,097,915
Total Short-Term Investment Securities (cost $5,097,915)					5,097,915
REPURCHASE AGREEMENTS — 0.2%
State Street Bank and Trust Co. Joint Repurchase Agreement(2) (cost $810,000)	$	810,000			810,000
TOTAL INVESTMENTS (cost $400,615,986)(3)		100.3	%		480,745,662
Liabilities in excess of other assets		(0.3	)		(1,646,623	)
NET ASSETS		100.0	%	$	479,099,039

†  Non-income producing security

(1)  The rate shown is the 7-day yield as of March 31, 2016.

(2)  See Note 2 for details of Joint Repurchase Agreements.

(3)  See Note 4 for cost of investments on a tax basis.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	4	Long	S&P Citigroup Growth Index	June 2016	$	1,132,620	$	1,165,100	$	32,480

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks	$	472,502,332	$	—	$	—	$	472,502,332
Exchange-Traded Funds		2,335,415		—		—		2,335,415
Short-Term Investments Securities:
Commercial Paper		—		2,000,000		—		2,000,000
Registered Investment Companies		3,097,915		—		—		3,097,915
Repurchase Agreements		—		810,000		—		810,000
Total Investments at Value	$	477,935,662	$	2,810,000	$	—	$	480,745,662
Other Financial Instruments:†
Futures Contracts	$	32,840	$	—	$	—	$	32,840

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

173

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Medical-Drugs	6.6	%
Diversified Banking Institutions	6.5
Oil Companies-Integrated	6.3
Banks-Super Regional	5.3
Electric-Integrated	4.1
Insurance-Multi-line	3.2
Diversified Manufacturing Operations	2.9
Oil Companies-Exploration & Production	2.6
Investment Management/Advisor Services	2.5
Networking Products	2.3
Oil-Field Services	2.2
Telephone-Integrated	2.2
Aerospace/Defense-Equipment	1.8
Electronic Components-Semiconductors	1.8
Semiconductor Components-Integrated Circuits	1.6
Food-Misc./Diversified	1.5
Cosmetics & Toiletries	1.4
Insurance-Reinsurance	1.3
Chemicals-Diversified	1.3
Medical Instruments	1.3
Beverages-Non-alcoholic	1.3
Medical Products	1.2
Tobacco	1.2
Medical-Biomedical/Gene	1.1
Enterprise Software/Service	1.1
Transport-Rail	1.1
Multimedia	1.0
Insurance-Life/Health	1.0
Cruise Lines	0.9
Repurchase Agreements	0.9
Retail-Drug Store	0.9
Banks-Commercial	0.8
Computer Services	0.8
Semiconductor Equipment	0.8
Retail-Discount	0.8
Television	0.7
Transport-Services	0.7
Diagnostic Equipment	0.7
Medical-HMO	0.7
Auto/Truck Parts & Equipment-Original	0.6
Finance-Credit Card	0.6
Hotels/Motels	0.6
Auto-Cars/Light Trucks	0.6
Retail-Apparel/Shoe	0.6
Retail-Restaurants	0.6
Food-Wholesale/Distribution	0.6
Building & Construction Products-Misc.	0.6
Instruments-Controls	0.6
Applications Software	0.5
Gas-Distribution	0.5
Medical-Wholesale Drug Distribution	0.5
Retail-Jewelry	0.5
Electronic Security Devices	0.5
Real Estate Investment Trusts	0.5
Building-Residential/Commercial	0.5
Steel-Producers	0.5
Insurance Brokers	0.5
Agricultural Chemicals	0.5
Paper & Related Products	0.5
Commercial Services	0.5
Machinery-Construction & Mining	0.5

Industrial Automated/Robotic	0.5	%
Exchange-Traded Funds	0.4
Electronic Connectors	0.4
Beverages-Wine/Spirits	0.4
Retail-Auto Parts	0.4
Finance-Other Services	0.4
Tools-Hand Held	0.4
Internet Security	0.4
Finance-Consumer Loans	0.4
Oil Refining & Marketing	0.4
Computers-Memory Devices	0.3
Medical-Hospitals	0.3
Appliances	0.3
Medical Labs & Testing Services	0.3
Retail-Major Department Stores	0.3
Airlines	0.3
Shipbuilding	0.3
Banks-Fiduciary	0.3
Pipelines	0.3
Electric-Distribution	0.3
Medical-Generic Drugs	0.3
Containers-Paper/Plastic	0.3
Aerospace/Defense	0.2
Cable/Satellite TV	0.2
Motorcycle/Motor Scooter	0.2
Entertainment Software	0.2
Time Deposits	0.2
Pharmacy Services	0.2
Insurance-Property/Casualty	0.2
Retail-Catalog Shopping	0.2
Retail-Building Products	0.2
Computers-Integrated Systems	0.2
Electric Products-Misc.	0.1
Industrial Gases	0.1
Web Portals/ISP	0.1
Food-Retail	0.1
Distribution/Wholesale	0.1
Electronic Components-Misc.	0.1
Commercial Services-Finance	0.1
Machinery-Farming	0.1
Retail-Regional Department Stores	0.1
Consumer Products-Misc.	0.1
Agricultural Operations	0.1
Computers	0.1
Apparel Manufacturers	0.1
Food-Meat Products	0.1
Auto-Heavy Duty Trucks	0.1
Oil Field Machinery & Equipment	0.1
Engines-Internal Combustion	0.1
Non-Hazardous Waste Disposal	0.1
Office Automation & Equipment	0.1
Gold Mining	0.1
Advertising Agencies	0.1
Metal-Copper	0.1
Engineering/R&D Services	0.1
Metal-Aluminum	0.1
Food-Confectionery	0.1
	100.5	%

*  Calculated as a percentage of net assets

174

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 99.0%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc.		5,299	$	121,612
Omnicom Group, Inc.		4,473		372,288
				493,900
Aerospace/Defense — 0.2%
General Dynamics Corp.		5,888		773,507
Lockheed Martin Corp.		3,943		873,374
Raytheon Co.		4,816		590,586
				2,237,467
Aerospace/Defense-Equipment — 1.8%
Harris Corp.		2,008		156,343
Triumph Group, Inc.		81,847		2,576,543
United Technologies Corp.		144,000		14,414,400
				17,147,286
Agricultural Chemicals — 0.5%
Agrium, Inc.		34,900		3,081,321
CF Industries Holdings, Inc.		8,532		267,393
Monsanto Co.		8,059		707,097
Mosaic Co.		12,903		348,381
				4,404,192
Agricultural Operations — 0.1%
Archer-Daniels-Midland Co.		21,791		791,231
Airlines — 0.3%
American Airlines Group, Inc.		22,073		905,213
Delta Air Lines, Inc.		28,497		1,387,234
United Continental Holdings, Inc.†		13,159		787,698
				3,080,145
Apparel Manufacturers — 0.1%
Michael Kors Holdings, Ltd.†		2,233		127,192
Ralph Lauren Corp.		2,128		204,841
VF Corp.		6,091		394,453
				726,486
Appliances — 0.3%
Whirlpool Corp.		17,547		3,164,426
Applications Software — 0.5%
Microsoft Corp.		91,092		5,031,011
Audio/Video Products — 0.0%
Harman International Industries, Inc.		1,120		99,725
Auto-Cars/Light Trucks — 0.6%
Ford Motor Co.		311,056		4,199,256
General Motors Co.		51,446		1,616,948
				5,816,204
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		12,861		703,368
Auto/Truck Parts & Equipment-Original — 0.6%
BorgWarner, Inc.		75,073		2,882,803
Delphi Automotive PLC		29,940		2,246,099
Johnson Controls, Inc.		23,728		924,680
				6,053,582
Banks-Commercial — 0.8%
BB&T Corp.		75,328		2,506,163
M&T Bank Corp.		44,298		4,917,078

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
Regions Financial Corp.		47,140	$	370,049
Zions Bancorporation		7,486		181,236
				7,974,526
Banks-Fiduciary — 0.3%
Bank of New York Mellon Corp.		39,379		1,450,328
Citizens Financial Group, Inc.		15,263		319,760
Northern Trust Corp.		2,994		195,119
State Street Corp.		14,642		856,850
				2,822,057
Banks-Super Regional — 5.3%
Capital One Financial Corp.		19,304		1,337,960
Comerica, Inc.		6,401		242,406
Fifth Third Bancorp		28,669		478,485
Huntington Bancshares, Inc.		14,842		141,593
KeyCorp		147,996		1,633,876
PNC Financial Services Group, Inc.		147,510		12,474,921
SunTrust Banks, Inc.		18,485		666,939
US Bancorp		217,287		8,819,679
Wells Fargo & Co.		516,394		24,972,814
				50,768,673
Beverages-Non-alcoholic — 1.3%
Coca-Cola Co.		212,667		9,865,622
Coca-Cola Enterprises, Inc.		2,220		112,643
PepsiCo, Inc.		23,809		2,439,946
				12,418,211
Beverages-Wine/Spirits — 0.4%
Diageo PLC ADR		35,954		3,878,358
Brewery — 0.0%
Molson Coors Brewing Co., Class B		3,028		291,233
Broadcast Services/Program — 0.0%
Scripps Networks Interactive, Inc., Class A		1,632		106,896
Building & Construction Products-Misc. — 0.6%
Fortune Brands Home & Security, Inc.		97,009		5,436,384
Building-Residential/Commercial — 0.5%
PulteGroup, Inc.		250,130		4,679,932
Cable/Satellite TV — 0.2%
Comcast Corp., Class A		32,951		2,012,647
Casino Hotels — 0.0%
Wynn Resorts, Ltd.		1,996		186,486
Chemicals-Diversified — 1.3%
Dow Chemical Co.		166,709		8,478,820
E.I. du Pont de Nemours & Co.		17,549		1,111,203
Eastman Chemical Co.		5,411		390,836
FMC Corp.		4,892		197,490
LyondellBasell Industries NV, Class A		24,392		2,087,467
PPG Industries, Inc.		3,808		424,554
				12,690,370
Commercial Services — 0.5%
Nielsen Holdings PLC		79,090		4,164,879
Quanta Services, Inc.†		5,849		131,954
				4,296,833

175

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Commercial Services-Finance — 0.1%
Automatic Data Processing, Inc.		6,865	$	615,859
H&R Block, Inc.		2,936		77,569
Western Union Co.		8,819		170,119
				863,547
Computer Aided Design — 0.0%
Autodesk, Inc.†		3,134		182,744
Computer Services — 0.8%
Cognizant Technology Solutions Corp., Class A†		67,300		4,219,710
CSRA, Inc.		2,843		76,477
Hewlett Packard Enterprise Co.		27,647		490,181
International Business Machines Corp.		19,739		2,989,472
Teradata Corp.†		2,921		76,647
				7,852,487
Computers — 0.1%
HP, Inc.		63,202		778,649
Computers-Integrated Systems — 0.2%
VeriFone Systems, Inc.†		51,400		1,451,536
Computers-Memory Devices — 0.3%
EMC Corp.		71,270		1,899,345
NetApp, Inc.		10,582		288,783
SanDisk Corp.		4,268		324,709
Seagate Technology PLC		10,850		373,783
Western Digital Corp.		8,520		402,485
				3,289,105
Consumer Products-Misc. — 0.1%
Kimberly-Clark Corp.		5,945		799,662
Containers-Metal/Glass — 0.0%
Ball Corp.		2,438		173,805
Owens-Illinois, Inc.†		5,893		94,052
				267,857
Containers-Paper/Plastic — 0.3%
Sealed Air Corp.		3,085		148,111
WestRock Co.		56,652		2,211,127
				2,359,238
Cosmetics & Toiletries — 1.4%
Colgate-Palmolive Co.		15,032		1,062,011
Procter & Gamble Co.		146,384		12,048,867
				13,110,878
Cruise Lines — 0.9%
Carnival Corp.		61,295		3,234,537
Norwegian Cruise Line Holdings, Ltd.†		96,137		5,315,415
Royal Caribbean Cruises, Ltd.		2,048		168,243
				8,718,195
Data Processing/Management — 0.0%
Dun & Bradstreet Corp.		569		58,652
Fidelity National Information Services, Inc.		4,447		281,540
				340,192

Security Description	Shares		Value (Note 2)
Dental Supplies & Equipment — 0.0%
DENTSPLY SIRONA, Inc.		4,063	$	250,403
Patterson Cos., Inc.		1,437		66,863
				317,266
Diagnostic Equipment — 0.7%
Abbott Laboratories		123,147		5,151,239
Danaher Corp.		7,440		705,758
Thermo Fisher Scientific, Inc.		4,932		698,322
				6,555,319
Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc.†		1,941		142,431
Distribution/Wholesale — 0.1%
Fastenal Co.		4,224		206,976
Genuine Parts Co.		5,473		543,797
WW Grainger, Inc.		1,226		286,185
				1,036,958
Diversified Banking Institutions — 6.5%
Bank of America Corp.		829,579		11,215,908
Citigroup, Inc.		308,424		12,876,702
Goldman Sachs Group, Inc.		54,920		8,621,342
JPMorgan Chase & Co.		485,381		28,744,263
Morgan Stanley		29,637		741,221
				62,199,436
Diversified Manufacturing Operations — 2.9%
3M Co.		9,302		1,549,992
Dover Corp.		5,674		365,008
Eaton Corp. PLC		107,684		6,736,711
General Electric Co.		153,692		4,885,869
Illinois Tool Works, Inc.		5,273		540,166
Ingersoll-Rand PLC		166,912		10,350,213
Parker-Hannifin Corp.		4,945		549,291
Pentair PLC		2,471		134,077
Textron, Inc.		82,416		3,004,887
				28,116,214
Diversified Operations — 0.0%
Leucadia National Corp.		12,199		197,258
Electric Products-Misc. — 0.1%
Emerson Electric Co.		23,541		1,280,160
Electric-Distribution — 0.3%
PPL Corp.		66,396		2,527,696
Electric-Integrated — 4.1%
AES Corp.		24,149		284,958
Ameren Corp.		8,881		444,938
American Electric Power Co., Inc.		17,974		1,193,474
CMS Energy Corp.		10,145		430,554
Consolidated Edison, Inc.		10,747		823,435
Dominion Resources, Inc.		69,880		5,249,386
DTE Energy Co.		6,570		595,636
Duke Energy Corp.		25,197		2,032,894
Edison International		115,297		8,288,701
Entergy Corp.		6,534		518,015
Eversource Energy		11,610		677,327
Exelon Corp.		33,673		1,207,514
FirstEnergy Corp.		15,507		557,787

176

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electric-Integrated (continued)
NextEra Energy, Inc.		16,860	$	1,995,212
PG&E Corp.		18,040		1,077,349
Pinnacle West Capital Corp.		4,063		305,009
Public Service Enterprise Group, Inc.		18,538		873,881
SCANA Corp.		5,231		366,955
Southern Co.		33,414		1,728,506
TECO Energy, Inc.		4,051		111,524
WEC Energy Group, Inc.		11,554		694,049
Westar Energy, Inc.		51,460		2,552,931
Xcel Energy, Inc.		163,368		6,832,050
				38,842,085
Electronic Components-Misc. — 0.1%
Corning, Inc.		40,734		850,933
Garmin, Ltd.		4,306		172,068
				1,023,001
Electronic Components-Semiconductors — 1.8%
Intel Corp.		444,547		14,381,096
Microchip Technology, Inc.		27,270		1,314,414
Micron Technology, Inc.†		19,747		206,751
Texas Instruments, Inc.		13,615		781,773
Xilinx, Inc.		3,742		177,483
				16,861,517
Electronic Connectors — 0.4%
TE Connectivity, Ltd.		63,548		3,934,892
Electronic Measurement Instruments — 0.0%
Agilent Technologies, Inc.		7,559		301,226
FLIR Systems, Inc.		2,568		84,616
				385,842
Electronic Security Devices — 0.5%
Tyco International PLC		127,788		4,691,097
Electronics-Military — 0.0%
L-3 Communications Holdings, Inc.		2,848		337,488
Energy-Alternate Sources — 0.0%
First Solar, Inc.†		2,794		191,305
Engineering/R&D Services — 0.1%
Fluor Corp.		5,085		273,064
Jacobs Engineering Group, Inc.†		4,485		195,322
				468,386
Engines-Internal Combustion — 0.1%
Cummins, Inc.		5,934		652,384
Enterprise Software/Service — 1.1%
CA, Inc.		10,831		333,486
Oracle Corp.		250,778		10,259,328
				10,592,814
Entertainment Software — 0.2%
Electronic Arts, Inc.†		28,720		1,898,679
Finance-Consumer Loans — 0.4%
Navient Corp.		12,548		150,200
Synchrony Financial†		122,678		3,515,951
				3,666,151

Security Description	Shares		Value (Note 2)
Finance-Credit Card — 0.6%
American Express Co.		29,995	$	1,841,693
Discover Financial Services		82,451		4,198,405
				6,040,098
Finance-Other Services — 0.4%
CME Group, Inc.		6,070		583,024
Intercontinental Exchange, Inc.		13,346		3,138,178
Nasdaq, Inc.		1,596		105,942
				3,827,144
Food-Confectionery — 0.1%
Hershey Co.		2,363		217,609
J.M. Smucker Co.		1,840		238,905
				456,514
Food-Meat Products — 0.1%
Tyson Foods, Inc., Class A		10,728		715,128
Food-Misc./Diversified — 1.5%
ConAgra Foods, Inc.		6,833		304,888
General Mills, Inc.		8,253		522,828
Ingredion, Inc.		42,453		4,533,556
Kellogg Co.		4,062		310,946
Kraft Heinz Co.		65,471		5,143,402
McCormick & Co., Inc.		1,351		134,397
Mondelez International, Inc., Class A		89,910		3,607,189
				14,557,206
Food-Retail — 0.1%
Kroger Co.		19,266		736,925
Whole Foods Market, Inc.		11,882		369,649
				1,106,574
Food-Wholesale/Distribution — 0.6%
Sysco Corp.		116,370		5,437,970
Gas-Distribution — 0.5%
AGL Resources, Inc.		2,027		132,039
CenterPoint Energy, Inc.		15,750		329,490
NiSource, Inc.		11,704		275,746
Sempra Energy		39,731		4,134,011
				4,871,286
Gold Mining — 0.1%
Newmont Mining Corp.		19,369		514,828
Home Furnishings — 0.0%
Leggett & Platt, Inc.		1,887		91,331
Hotels/Motels — 0.6%
Hilton Worldwide Holdings, Inc.		154,400		3,477,088
Marriott International, Inc., Class A		29,736		2,116,609
Starwood Hotels & Resorts Worldwide, Inc.		3,212		267,977
				5,861,674
Human Resources — 0.0%
Robert Half International, Inc.		2,112		98,377
Independent Power Producers — 0.0%
NRG Energy, Inc.		11,526		149,953
Industrial Automated/Robotic — 0.5%
Rockwell Automation, Inc.		37,742		4,293,152

177

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		3,694	$	532,121
Airgas, Inc.		668		94,615
Praxair, Inc.		5,317		608,531
				1,235,267
Instruments-Controls — 0.6%
Honeywell International, Inc.		47,587		5,332,123
Insurance Brokers — 0.5%
Aon PLC		3,757		392,419
Marsh & McLennan Cos., Inc.		63,865		3,882,353
Willis Towers Watson PLC		2,023		240,049
				4,514,821
Insurance-Life/Health — 1.0%
Aflac, Inc.		55,034		3,474,847
Lincoln National Corp.		8,820		345,744
Principal Financial Group, Inc.		104,852		4,136,411
Prudential Financial, Inc.		16,325		1,178,992
Torchmark Corp.		1,940		105,070
Unum Group		8,743		270,334
				9,511,398
Insurance-Multi-line — 3.2%
Allstate Corp.		50,727		3,417,478
American International Group, Inc.(1)		42,074		2,274,100
Assurant, Inc.		1,304		100,604
Chubb, Ltd.		99,696		11,878,778
Cincinnati Financial Corp.		2,545		166,341
Hartford Financial Services Group, Inc.		14,520		669,081
Loews Corp.		9,803		375,063
MetLife, Inc.		160,162		7,037,518
XL Group PLC		121,431		4,468,661
				30,387,624
Insurance-Property/Casualty — 0.2%
Progressive Corp.		11,550		405,867
Travelers Cos., Inc.		10,797		1,260,118
				1,665,985
Insurance-Reinsurance — 1.3%
Berkshire Hathaway, Inc., Class B†		90,679		12,865,537
Internet Infrastructure Software — 0.0%
F5 Networks, Inc.†		830		87,856
Internet Security — 0.4%
Symantec Corp.		200,846		3,691,549
Investment Management/Advisor Services — 2.5%
Affiliated Managers Group, Inc.†		751		121,963
Ameriprise Financial, Inc.		47,046		4,422,795
BlackRock, Inc.		22,462		7,649,883
Franklin Resources, Inc.		13,667		533,696
Invesco, Ltd.		335,268		10,316,196
Legg Mason, Inc.		3,943		136,743
T. Rowe Price Group, Inc.		2,998		220,233
				23,401,509
Machinery-Construction & Mining — 0.5%
Caterpillar, Inc.		56,115		4,295,042

Security Description	Shares		Value (Note 2)
Machinery-Farming — 0.1%
Deere & Co.		10,965	$	844,195
Machinery-Pumps — 0.0%
Flowserve Corp.		4,761		211,436
Xylem, Inc.		3,855		157,670
				369,106
Medical Instruments — 1.3%
Intuitive Surgical, Inc.†		493		296,318
Medtronic PLC		158,902		11,917,650
St. Jude Medical, Inc.		5,087		279,785
				12,493,753
Medical Labs & Testing Services — 0.3%
Laboratory Corp. of America Holdings†		23,700		2,775,981
Quest Diagnostics, Inc.		5,226		373,398
				3,149,379
Medical Products — 1.2%
Baxter International, Inc.		137,764		5,659,345
Henry Schein, Inc.†		930		160,546
Stryker Corp.		4,358		467,570
Varian Medical Systems, Inc.†		1,573		125,872
Zimmer Biomet Holdings, Inc.		50,348		5,368,607
				11,781,940
Medical-Biomedical/Gene — 1.1%
Amgen, Inc.		33,683		5,050,092
Gilead Sciences, Inc.		37,796		3,471,940
Vertex Pharmaceuticals, Inc.†		28,134		2,236,372
				10,758,404
Medical-Drugs — 6.6%
AbbVie, Inc.		61,040		3,486,605
Allergan PLC†		29,010		7,775,550
AstraZeneca PLC ADR		111,061		3,127,478
Baxalta, Inc.		9,720		392,688
Bristol-Myers Squibb Co.		102,748		6,563,542
Eli Lilly & Co.		13,539		974,943
Endo International PLC†		4,939		139,033
Johnson & Johnson		96,982		10,493,452
Mallinckrodt PLC†		4,097		251,064
Merck & Co., Inc.		274,441		14,520,673
Pfizer, Inc.		383,835		11,376,870
Roche Holding AG ADR		131,800		4,036,375
Zoetis, Inc.		5,860		259,774
				63,398,047
Medical-Generic Drugs — 0.3%
Mylan NV†		7,544		349,664
Perrigo Co. PLC		3,108		397,607
Teva Pharmaceutical Industries, Ltd. ADR		30,180		1,614,932
				2,362,203
Medical-HMO — 0.7%
Anthem, Inc.		27,817		3,866,285
Humana, Inc.		2,877		526,347
UnitedHealth Group, Inc.		14,963		1,928,731
				6,321,363

178

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Hospitals — 0.3%
HCA Holdings, Inc.†		37,809	$	2,950,992
Tenet Healthcare Corp.†		3,607		104,351
Universal Health Services, Inc., Class B		1,257		156,773
				3,212,116
Medical-Wholesale Drug Distribution — 0.5%
Cardinal Health, Inc.		12,055		987,907
McKesson Corp.		24,407		3,838,001
				4,825,908
Metal-Aluminum — 0.1%
Alcoa, Inc.		48,129		461,076
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		45,823		473,810
Motorcycle/Motor Scooter — 0.2%
Harley-Davidson, Inc.		37,276		1,913,377
Multimedia — 1.0%
Thomson Reuters Corp.		86,155		3,487,554
Time Warner, Inc.		72,223		5,239,779
Twenty-First Century Fox, Inc., Class A		19,259		536,941
Twenty-First Century Fox, Inc., Class B		7,418		209,188
Viacom, Inc., Class B		12,682		523,513
				9,996,975
Networking Products — 2.3%
Cisco Systems, Inc.		779,985		22,206,173
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.		4,616		219,952
Waste Management, Inc.		7,130		420,670
				640,622
Office Automation & Equipment — 0.1%
Pitney Bowes, Inc.		7,012		151,039
Xerox Corp.		34,852		388,948
				539,987
Oil & Gas Drilling — 0.0%
Diamond Offshore Drilling, Inc.		2,360		51,283
Helmerich & Payne, Inc.		3,954		232,179
Transocean, Ltd.		12,528		114,506
				397,968
Oil Companies-Exploration & Production — 2.6%
Anadarko Petroleum Corp.		62,342		2,903,267
Apache Corp.		8,031		391,993
Cabot Oil & Gas Corp.		9,725		220,855
California Resources Corp.		1,545		1,591
Chesapeake Energy Corp.		18,940		78,033
Cimarex Energy Co.		1,215		118,183
Concho Resources, Inc.†		1,702		171,970
ConocoPhillips		45,250		1,822,217
Devon Energy Corp.		9,339		256,262
EOG Resources, Inc.		72,647		5,272,719
EQT Corp.		5,845		393,135
Hess Corp.		9,693		510,336
Newfield Exploration Co.†		2,828		94,031

Security Description	Shares		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Noble Energy, Inc.		15,697	$	493,043
Occidental Petroleum Corp.		100,776		6,896,102
Pioneer Natural Resources Co.		24,422		3,437,152
Range Resources Corp.		6,208		201,015
Southwestern Energy Co.†		175,282		1,414,526
				24,676,430
Oil Companies-Integrated — 6.3%
Chevron Corp.		255,977		24,420,206
Exxon Mobil Corp.		202,147		16,897,468
Imperial Oil, Ltd.		138,230		4,618,133
Marathon Oil Corp.		355,051		3,955,268
Murphy Oil Corp.		5,919		149,100
Royal Dutch Shell PLC, Class B		107,087		2,614,661
TOTAL SA ADR		171,520		7,790,438
				60,445,274
Oil Field Machinery & Equipment — 0.1%
FMC Technologies, Inc.†		8,306		227,252
National Oilwell Varco, Inc.		13,756		427,812
				655,064
Oil Refining & Marketing — 0.4%
Marathon Petroleum Corp.		19,372		720,251
Phillips 66		17,183		1,487,876
Tesoro Corp.		2,445		210,294
Valero Energy Corp.		17,218		1,104,363
				3,522,784
Oil-Field Services — 2.2%
Baker Hughes, Inc.		16,027		702,463
Halliburton Co.		215,351		7,692,338
Schlumberger, Ltd.		167,393		12,345,234
				20,740,035
Paper & Related Products — 0.5%
International Paper Co.		107,019		4,392,060
Pharmacy Services — 0.2%
Express Scripts Holding Co.†		24,453		1,679,677
Pipelines — 0.3%
Columbia Pipeline Group, Inc.		14,636		367,363
Kinder Morgan, Inc.		66,981		1,196,281
ONEOK, Inc.		7,686		229,504
Spectra Energy Corp.		24,580		752,148
Williams Cos., Inc.		15,740		252,942
				2,798,238
Publishing-Newspapers — 0.0%
News Corp., Class A		13,909		177,618
News Corp., Class B		3,946		52,284
				229,902
Real Estate Investment Trusts — 0.5%
Apartment Investment & Management Co., Class A		2,637		110,280
Boston Properties, Inc.		2,024		257,210
Federal Realty Investment Trust		867		135,296
General Growth Properties, Inc.		8,314		247,175
HCP, Inc.		17,040		555,163
Host Hotels & Resorts, Inc.		14,319		239,127

179

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Iron Mountain, Inc.		4,298	$	145,745
Macerich Co.		2,459		194,851
Realty Income Corp.		2,567		160,463
Simon Property Group, Inc.		4,304		893,898
SL Green Realty Corp.		2,124		205,773
Ventas, Inc.		6,643		418,243
Vornado Realty Trust		3,309		312,469
Welltower, Inc.		5,200		360,568
Weyerhaeuser Co.		14,447		447,568
				4,683,829
Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		1,965		122,203
Retail-Apparel/Shoe — 0.6%
Coach, Inc.		10,165		407,515
Gap, Inc.		8,283		243,520
PVH Corp.		48,386		4,793,117
Urban Outfitters, Inc.†		3,178		105,160
				5,549,312
Retail-Auto Parts — 0.4%
Advance Auto Parts, Inc.		24,160		3,873,814
Retail-Automobile — 0.0%
AutoNation, Inc.†		2,708		126,409
CarMax, Inc.†		3,009		153,760
				280,169
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc.†		5,988		297,244
Retail-Building Products — 0.2%
Lowe's Cos., Inc.		20,600		1,560,450
Retail-Catalog Shopping — 0.2%
Liberty Interactive Corp. QVC Group, Class A†		63,100		1,593,275
Retail-Computer Equipment — 0.0%
GameStop Corp., Class A		3,831		121,558
Retail-Consumer Electronics — 0.0%
Best Buy Co., Inc.		10,312		334,521
Retail-Discount — 0.8%
Costco Wholesale Corp.		9,015		1,420,584
Dollar General Corp.		5,005		428,428
Target Corp.		22,044		1,813,780
Wal-Mart Stores, Inc.		57,429		3,933,312
				7,596,104
Retail-Drug Store — 0.9%
CVS Health Corp.		69,253		7,183,614
Walgreens Boots Alliance, Inc.		13,583		1,144,232
				8,327,846
Retail-Jewelry — 0.5%
Signet Jewelers, Ltd.		35,900		4,452,677
Tiffany & Co.		4,083		299,611
				4,752,288
Retail-Major Department Stores — 0.3%
Nordstrom, Inc.		54,174		3,099,295

Security Description	Shares		Value (Note 2)
Retail-Office Supplies — 0.0%
Staples, Inc.		23,637	$	260,716
Retail-Regional Department Stores — 0.1%
Kohl's Corp.		6,948		323,847
Macy's, Inc.		11,358		500,774
				824,621
Retail-Restaurants — 0.6%
Brinker International, Inc.		70,000		3,216,500
Darden Restaurants, Inc.		4,225		280,118
McDonald's Corp.		11,221		1,410,255
Yum! Brands, Inc.		7,181		587,765
				5,494,638
Rubber-Tires — 0.0%
Goodyear Tire & Rubber Co.		5,181		170,869
Savings & Loans/Thrifts — 0.0%
People's United Financial, Inc.		11,363		181,013
Security Services — 0.0%
ADT Corp.		2,421		99,890
Semiconductor Components-Integrated Circuits — 1.6%
Linear Technology Corp.		3,592		160,060
Maxim Integrated Products, Inc.		211,848		7,791,769
QUALCOMM, Inc.		145,687		7,450,433
				15,402,262
Semiconductor Equipment — 0.8%
Applied Materials, Inc.		246,000		5,210,280
KLA-Tencor Corp.		2,735		199,135
Lam Research Corp.		26,480		2,187,248
				7,596,663
Shipbuilding — 0.3%
Huntington Ingalls Industries, Inc.		21,355		2,924,354
Steel-Producers — 0.5%
Nucor Corp.		11,638		550,477
Steel Dynamics, Inc.		181,964		4,096,010
				4,646,487
Telecom Services — 0.0%
Level 3 Communications, Inc.†		6,242		329,890
Telephone-Integrated — 2.2%
AT&T, Inc.		280,809		10,999,288
CenturyLink, Inc.		19,907		636,228
Frontier Communications Corp.		42,760		239,028
Verizon Communications, Inc.		163,009		8,815,527
				20,690,071
Television — 0.7%
AMC Networks, Inc., Class A†		24,060		1,562,456
CBS Corp., Class B		98,038		5,400,914
TEGNA, Inc.		3,941		92,456
				7,055,826
Tobacco — 1.2%
British American Tobacco PLC ADR		49,042		5,733,500
Philip Morris International, Inc.		57,990		5,689,399
				11,422,899

180

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Tools-Hand Held — 0.4%
Stanley Black & Decker, Inc.		35,460	$	3,730,747
Toys — 0.0%
Mattel, Inc.		12,446		418,435
Transport-Rail — 1.1%
CSX Corp.		35,255		907,816
Kansas City Southern		3,971		339,322
Norfolk Southern Corp.		10,915		908,674
Union Pacific Corp.		105,599		8,400,400
				10,556,212
Transport-Services — 0.7%
C.H. Robinson Worldwide, Inc.		2,726		202,351
Expeditors International of Washington, Inc.		2,466		120,366
FedEx Corp.		32,182		5,236,655
Ryder System, Inc.		1,958		126,839
United Parcel Service, Inc., Class B		11,621		1,225,667
				6,911,878
Transport-Truck — 0.0%
J.B. Hunt Transport Services, Inc.		1,337		112,629
Vitamins & Nutrition Products — 0.0%
Mead Johnson Nutrition Co.		3,412		289,918
Water — 0.0%
American Water Works Co., Inc.		2,932		202,103
Web Portals/ISP — 0.1%
Yahoo!, Inc.†		31,884		1,173,650
Wireless Equipment — 0.0%
Motorola Solutions, Inc.		2,323		175,851
Total Common Stocks (cost $910,729,278)				946,403,440
EXCHANGE-TRADED FUNDS — 0.4%
iShares Russell 1000 Value ETF		6,260		618,550
iShares S&P 500 Value ETF		39,086		3,515,395
Total Exchange-Traded Funds (cost $4,052,831)				4,133,945
Total Long-Term Investment Securities (cost $914,782,109)				950,537,385

Security Description	Principal Amount			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 0.2%
Time Deposits — 0.2%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 04/01/2016 (cost $1,785,000)	$	1,785,000		$	1,785,000
REPURCHASE AGREEMENTS — 0.9%
Bank of America Securities LLC Joint Repurchase Agreement(2)		2,075,000			2,075,000
Barclays Capital, Inc. Joint Repurchase Agreement(2)		910,000			910,000
BNP Paribas SA Joint Repurchase Agreement(2)		1,820,000			1,820,000
Deutsche Bank AG Joint Repurchase Agreement(2)		1,820,000			1,820,000
RBS Securities, Inc. Joint Repurchase Agreement(2)		1,275,000			1,275,000
State Street Bank and Trust Co. Joint Repurchase Agreement(2)		771,000			771,000
Total Repurchase Agreements (cost $8,671,000)					8,671,000
TOTAL INVESTMENTS (cost $925,238,109)(3)		100.5	%		960,993,385
Liabilities in excess of other assets		(0.5	)		(4,590,048	)
NET ASSETS		100.0	%	$	956,403,337

†  Non-income producing security

(1)  Security represents an investment in an affiliated company; see Note 8

(2)  See Note 2 for details of Joint Repurchase Agreements.

(3)  See Note 4 for cost of investments on a tax basis.

ADR — American Depositary Receipt

ETF — Exchange-Traded Fund

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 Citigroup Value Index	June 2016	$	872,020	$	886,200	$	14,180

181

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized (Depreciation)
Morgan Stanley Capital Services, Inc.	CAD	5,390,715	USD	4,087,211	06/30/2016	$	—	$	(63,790	)
	USD	236,231	CAD	310,210	06/30/2016		2,639		—
							2,639		(63,790	)
UBS AG	EUR	5,954,195	USD	6,669,139	06/30/2016		—		(124,457	)
Net Unrealized Appreciation (Depreciation)						$	2,639	$	(188,247	)

CAD — Canadian Dollar

EUR — Euro Currency

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks	$	946,403,440	$	—	$	—	$	946,403,440
Exchange-Traded Funds		4,133,945		—		—		4,133,945
Short-Term Investment Securities		—		1,785,000		—		1,785,000
Repurchase Agreements		—		8,671,000		—		8,671,000
Total Investments at Value	$	950,537,385	$	10,456,000	$	—	$	960,993,385
Other Financial Instruments:+
Futures Contracts	$	14,180	$	—	$	—	$	14,180
Forward Foreign Currency Contracts		—		2,639		—		2,639
Total Other Financial Instruments	$	14,180	$	2,639	$	—	$	16,819
LIABILITIES:
Other Financial Instruments:+
Forward Foreign Currency Contracts	$	—	$	188,247	$	—	$	188,247

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

182

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Enterprise Software/Service	3.2	%
Commercial Services-Finance	3.1
Real Estate Investment Trusts	3.1
Applications Software	2.9
Medical-Drugs	2.8
E-Commerce/Services	2.6
Retail-Apparel/Shoe	2.5
Medical-Biomedical/Gene	2.4
Hotels/Motels	2.3
Retail-Restaurants	1.9
Beverages-Non-alcoholic	1.8
Airlines	1.7
Machinery-General Industrial	1.7
Medical Instruments	1.7
Retail-Auto Parts	1.7
Oil Companies-Exploration & Production	1.5
Computer Software	1.5
Commercial Services	1.4
Medical Products	1.4
Auto/Truck Parts & Equipment-Original	1.4
Medical Information Systems	1.4
Distribution/Wholesale	1.4
Electronic Components-Semiconductors	1.4
Data Processing/Management	1.3
Food-Misc./Diversified	1.2
Investment Management/Advisor Services	1.2
Coatings/Paint	1.1
Retail-Discount	1.0
Repurchase Agreements	1.0
Dental Supplies & Equipment	0.9
Semiconductor Components-Integrated Circuits	0.9
Transport-Truck	0.9
Consumer Products-Misc.	0.9
Finance-Investment Banker/Broker	0.9
Beverages-Wine/Spirits	0.8
X-Ray Equipment	0.8
Insurance Brokers	0.8
Semiconductor Equipment	0.8
Apparel Manufacturers	0.8
Building & Construction Products-Misc.	0.8
Chemicals-Specialty	0.8
Drug Delivery Systems	0.8
Consulting Services	0.7
Audio/Video Products	0.7
Aerospace/Defense	0.6
Hazardous Waste Disposal	0.6
Retail-Sporting Goods	0.6
Networking Products	0.6
Retail-Automobile	0.6
Entertainment Software	0.6
Finance-Other Services	0.6
Transport-Rail	0.6
Advertising Agencies	0.5
Retail-Jewelry	0.5
Computer Services	0.5
Electronic Connectors	0.5
Instruments-Controls	0.5
Vitamins & Nutrition Products	0.5
Medical-Generic Drugs	0.5
E-Services/Consulting	0.5

Machinery-Pumps	0.5	%
Real Estate Management/Services	0.5
Finance-Leasing Companies	0.4
Internet Application Software	0.4
Exchange-Traded Funds	0.4
Medical-Wholesale Drug Distribution	0.4
Brewery	0.4
Food-Confectionery	0.4
Electronic Security Devices	0.4
Industrial Automated/Robotic	0.4
Building-Heavy Construction	0.4
Medical-HMO	0.4
Containers-Metal/Glass	0.4
Patient Monitoring Equipment	0.4
Diversified Manufacturing Operations	0.4
Transport-Services	0.4
Retail-Gardening Products	0.4
Banks-Commercial	0.4
Computers-Memory Devices	0.4
E-Commerce/Products	0.4
Building Products-Cement	0.4
Containers-Paper/Plastic	0.4
Internet Security	0.3
Finance-Mortgage Loan/Banker	0.3
Building-Residential/Commercial	0.3
Electronic Measurement Instruments	0.3
Diversified Financial Services	0.3
Human Resources	0.3
Finance-Credit Card	0.3
Diagnostic Kits	0.3
Auction Houses/Art Dealers	0.3
Chemicals-Diversified	0.3
Casino Hotels	0.3
Broadcast Services/Program	0.3
Food-Retail	0.3
Medical-Hospitals	0.3
Soap & Cleaning Preparation	0.3
Retail-Perfume & Cosmetics	0.3
Cruise Lines	0.3
Internet Content-Information/News	0.3
Auto-Heavy Duty Trucks	0.3
Computer Aided Design	0.3
Electric Products-Misc.	0.3
Tools-Hand Held	0.2
Textile-Home Furnishings	0.2
Physicians Practice Management	0.2
Wireless Equipment	0.2
Filtration/Separation Products	0.2
Gas-Distribution	0.2
Rental Auto/Equipment	0.2
Retail-Misc./Diversified	0.2
Instruments-Scientific	0.2
Home Decoration Products	0.2
Multimedia	0.2
Funeral Services & Related Items	0.2
Recreational Vehicles	0.2
Paper & Related Products	0.2
Agricultural Chemicals	0.2
Decision Support Software	0.2
Cable/Satellite TV	0.2

183

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Garden Products	0.2	%
Auto-Cars/Light Trucks	0.2
Internet Content-Entertainment	0.2
Disposable Medical Products	0.2
Power Converter/Supply Equipment	0.2
Retail-Arts & Crafts	0.2
Toys	0.2
Internet Infrastructure Software	0.2
Building-Maintenance & Services	0.2
Home Furnishings	0.2
Industrial Gases	0.1
Retail-Mail Order	0.1
Dialysis Centers	0.1
Transactional Software	0.1
Food-Meat Products	0.1
Retail-Catalog Shopping	0.1
Aerospace/Defense-Equipment	0.1
Cellular Telecom	0.1
Insurance-Property/Casualty	0.1
Building Products-Wood	0.1
Food-Baking	0.1
Motorcycle/Motor Scooter	0.1
Computer Data Security	0.1
Retail-Regional Department Stores	0.1
Non-Hazardous Waste Disposal	0.1
Lighting Products & Systems	0.1
Retail-Drug Store	0.1
Radio	0.1
Food-Wholesale/Distribution	0.1
Retail-Bedding	0.1
Oil Refining & Marketing	0.1
Respiratory Products	0.1
Retail-Major Department Stores	0.1
Platinum	0.1
Electronic Design Automation	0.1
Steel Pipe & Tube	0.1
Food-Dairy Products	0.1
Appliances	0.1
Banks-Fiduciary	0.1
Footwear & Related Apparel	0.1
Quarrying	0.1
Shipbuilding	0.1
Silver Mining	0.1
Transport-Marine	0.1
Office Supplies & Forms	0.1
Theaters	0.1
Electronic Forms	0.1
Building Products-Air & Heating	0.1
Banks-Super Regional	0.1
Oil-Field Services	0.1
Therapeutics	0.1
Web Portals/ISP	0.1
Chemicals-Plastics	0.1
Telecommunication Equipment	0.1
Veterinary Diagnostics	0.1
	99.9	%

*  Calculated as a percentage of net assets

184

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.0%
Advanced Materials — 0.0%
Hexcel Corp.		2,396	$	104,729
Advertising Agencies — 0.5%
Interpublic Group of Cos., Inc.		21,970		504,212
Omnicom Group, Inc.		8,176		680,488
				1,184,700
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc., Class A		350		1,645
Aerospace/Defense — 0.6%
Rockwell Collins, Inc.		6,488		598,259
Spirit AeroSystems Holdings, Inc., Class A†		3,250		147,420
TransDigm Group, Inc.†		3,024		666,308
				1,411,987
Aerospace/Defense-Equipment — 0.1%
B/E Aerospace, Inc.		2,640		121,757
Harris Corp.		2,215		172,460
				294,217
Agricultural Chemicals — 0.2%
CF Industries Holdings, Inc.		12,952		405,916
Airlines — 1.7%
Alaska Air Group, Inc.		7,922		649,762
Allegiant Travel Co.		900		160,254
Copa Holdings SA, Class A		2,100		142,275
JetBlue Airways Corp.†		2,906		61,375
Southwest Airlines Co.		30,722		1,376,345
Spirit Airlines, Inc.†		5,213		250,120
United Continental Holdings, Inc.†		18,700		1,119,382
				3,759,513
Apparel Manufacturers — 0.8%
Carter's, Inc.		1,305		137,521
Hanesbrands, Inc.		35,190		997,284
Michael Kors Holdings, Ltd.†		4,577		260,706
Ralph Lauren Corp.		81		7,797
Under Armour, Inc., Class A†		4,442		376,815
				1,780,123
Appliances — 0.1%
Whirlpool Corp.		947		170,782
Applications Software — 2.8%
Check Point Software Technologies, Ltd.†		1,600		139,952
Citrix Systems, Inc.†		3,985		313,141
Dropbox, Inc., Class A†(1)(2)(3)		3,515		35,888
Dropbox, Inc., Class B†(1)(2)(3)		844		8,617
Intuit, Inc.		12,455		1,295,445
NetSuite, Inc.†		6,092		417,241
PTC, Inc.†		2,859		94,804
Red Hat, Inc.†		11,259		838,908
ServiceNow, Inc.†		48,497		2,967,047
Tableau Software, Inc., Class A†		1,231		56,466
				6,167,509

Security Description	Shares		Value (Note 2)
Auction Houses/Art Dealers — 0.3%
KAR Auction Services, Inc.		8,284	$	315,952
Ritchie Bros. Auctioneers, Inc.		8,100		219,348
Sotheby's		3,800		101,574
				636,874
Audio/Video Products — 0.7%
Harman International Industries, Inc.		17,341		1,544,043
Auto-Cars/Light Trucks — 0.2%
Ferrari NV†		3,440		143,448
Tesla Motors, Inc.†		1,100		252,747
				396,195
Auto-Heavy Duty Trucks — 0.3%
PACCAR, Inc.		10,276		561,994
Auto/Truck Parts & Equipment-Original — 1.4%
Allison Transmission Holdings, Inc.		2,426		65,453
BorgWarner, Inc.		12,727		488,717
Delphi Automotive PLC		8,880		666,178
Lear Corp.		1,462		162,531
Mobileye NV†		34,458		1,284,939
Visteon Corp.		999		79,510
WABCO Holdings, Inc.†		2,957		316,162
				3,063,490
Banks-Commercial — 0.4%
BankUnited, Inc.		6,700		230,748
Signature Bank†		1,154		157,082
SVB Financial Group†		2,999		306,048
Webster Financial Corp.		4,100		147,190
				841,068
Banks-Fiduciary — 0.1%
Northern Trust Corp.		2,600		169,442
Banks-Super Regional — 0.1%
Fifth Third Bancorp		8,000		133,520
Beverages-Non-alcoholic — 1.8%
Coca-Cola Enterprises, Inc.		5,794		293,988
Dr Pepper Snapple Group, Inc.		6,668		596,252
Monster Beverage Corp.†		23,232		3,098,684
				3,988,924
Beverages-Wine/Spirits — 0.8%
Brown-Forman Corp., Class A		630		67,215
Brown-Forman Corp., Class B		6,359		626,171
Constellation Brands, Inc., Class A		7,569		1,143,600
				1,836,986
Brewery — 0.4%
Molson Coors Brewing Co., Class B		9,668		929,868
Broadcast Services/Program — 0.3%
Discovery Communications, Inc., Class A†		3,522		100,835
Discovery Communications, Inc., Class C†		11,005		297,135
MSG Networks, Inc., Class A†		1,528		26,419
Scripps Networks Interactive, Inc., Class A		2,272		148,816
Starz, Class A†		2,143		56,425
				629,630

185

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building & Construction Products-Misc. — 0.8%
Armstrong World Industries, Inc.†		611	$	29,554
Fortune Brands Home & Security, Inc.		28,965		1,623,199
GCP Applied Technologies, Inc.†		1,809		36,071
USG Corp.†		2,277		56,492
				1,745,316
Building & Construction-Misc. — 0.0%
TopBuild Corp.†		962		28,610
Building Products-Air & Heating — 0.1%
Lennox International, Inc.		1,004		135,731
Building Products-Cement — 0.4%
Eagle Materials, Inc.		3,349		234,799
Martin Marietta Materials, Inc.		234		37,325
Vulcan Materials Co.		4,930		520,460
				792,584
Building Products-Wood — 0.1%
Masco Corp.		8,670		272,672
Building-Heavy Construction — 0.4%
SBA Communications Corp., Class A†		8,887		890,211
Building-Maintenance & Services — 0.2%
Rollins, Inc.		12,660		343,339
Building-Mobile Home/Manufactured Housing — 0.0%
Thor Industries, Inc.		1,133		72,251
Building-Residential/Commercial — 0.3%
D.R. Horton, Inc.		3,378		102,117
Lennar Corp., Class A		1,695		81,970
Lennar Corp., Class B		93		3,600
NVR, Inc.†		101		174,973
PulteGroup, Inc.		8,500		159,035
Toll Brothers, Inc.†		7,424		219,082
				740,777
Cable/Satellite TV — 0.2%
Cablevision Systems Corp., Class A		724		23,892
Charter Communications, Inc., Class A†		1,863		377,127
				401,019
Casino Hotels — 0.3%
MGM Resorts International†		14,274		306,034
Wynn Resorts, Ltd.		3,488		325,884
				631,918
Cellular Telecom — 0.1%
T-Mobile US, Inc.†		7,200		275,760
Chemicals-Diversified — 0.3%
Celanese Corp., Series A		6,570		430,335
Eastman Chemical Co.		920		66,452
FMC Corp.		2,403		97,009
Huntsman Corp.		3,230		42,959
				636,755
Chemicals-Plastics — 0.1%
PolyOne Corp.		3,900		117,975

Security Description	Shares		Value (Note 2)
Chemicals-Specialty — 0.8%
Ashland, Inc.		3,458	$	380,242
International Flavors & Fragrances, Inc.		2,010		228,678
NewMarket Corp.		610		241,718
Platform Specialty Products Corp.†		85,356		734,061
W.R. Grace & Co.†		1,809		128,765
				1,713,464
Coatings/Paint — 1.1%
Axalta Coating Systems, Ltd.†		2,507		73,204
RPM International, Inc.		11,913		563,842
Sherwin-Williams Co.		3,912		1,113,629
Valspar Corp.		6,320		676,367
				2,427,042
Commercial Services — 1.4%
Aramark		4,397		145,629
Cintas Corp.		2,214		198,839
CoStar Group, Inc.†		11,051		2,079,467
Live Nation Entertainment, Inc.†		3,621		80,784
Nielsen Holdings PLC		10,007		526,969
Quanta Services, Inc.†		800		18,048
ServiceMaster Global Holdings, Inc.†		2,553		96,197
				3,145,933
Commercial Services-Finance — 3.1%
Equifax, Inc.		6,859		783,915
FleetCor Technologies, Inc.†		2,282		339,448
Global Payments, Inc.		8,104		529,191
H&R Block, Inc.		5,512		145,627
McGraw Hill Financial, Inc.		20,933		2,071,948
Moody's Corp.		7,715		744,960
Morningstar, Inc.		473		41,752
Sabre Corp.		16,127		466,393
SEI Investments Co.		3,465		149,168
Square, Inc., Class A†		593		9,061
Total System Services, Inc.		4,109		195,506
TransUnion†		9,154		252,742
Vantiv, Inc., Class A†		12,565		677,002
Western Union Co.		12,843		247,742
WEX, Inc.†		2,559		213,318
				6,867,773
Computer Aided Design — 0.3%
ANSYS, Inc.†		2,021		180,799
Autodesk, Inc.†		6,506		379,365
				560,164
Computer Data Security — 0.1%
Fortinet, Inc.†		8,551		261,917
Computer Services — 0.5%
DST Systems, Inc.		682		76,909
EPAM Systems, Inc.†		1,800		134,406
Genpact, Ltd.†		9,555		259,801
IHS, Inc., Class A†		4,563		566,542
Leidos Holdings, Inc.		142		7,145
Teradata Corp.†		2,468		64,760
				1,109,563

186

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computer Software — 1.4%
Akamai Technologies, Inc.†		22,729	$	1,263,050
Rackspace Hosting, Inc.†		2,890		62,395
SS&C Technologies Holdings, Inc.		27,118		1,719,824
				3,045,269
Computers-Integrated Systems — 0.0%
VeriFone Systems, Inc.†		2,829		79,891
Computers-Memory Devices — 0.4%
NetApp, Inc.		2,178		59,437
Pure Storage, Inc., Class A†		55,762		763,382
				822,819
Computers-Other — 0.0%
3D Systems Corp.†		1,019		15,764
Consulting Services — 0.7%
Booz Allen Hamilton Holding Corp.		2,341		70,885
Gartner, Inc.†		6,563		586,404
Verisk Analytics, Inc.†		11,804		943,376
				1,600,665
Consumer Products-Misc. — 0.9%
Clorox Co.		3,585		451,925
Jarden Corp.†		5,218		307,601
Samsonite International SA		353,190		1,183,773
Spectrum Brands Holdings, Inc.		627		68,519
				2,011,818
Containers-Metal/Glass — 0.4%
Ball Corp.		10,427		743,341
Crown Holdings, Inc.†		1,523		75,526
Owens-Illinois, Inc.†		251		4,006
Silgan Holdings, Inc.		1,007		53,542
				876,415
Containers-Paper/Plastic — 0.4%
Bemis Co., Inc.		262		13,567
Graphic Packaging Holding Co.		4,720		60,652
Packaging Corp. of America		2,433		146,953
Sealed Air Corp.		11,320		543,473
WestRock Co.		600		23,418
				788,063
Cosmetics & Toiletries — 0.0%
Coty, Inc., Class A		2,067		57,525
Cruise Lines — 0.3%
Norwegian Cruise Line Holdings, Ltd.†		7,102		392,670
Royal Caribbean Cruises, Ltd.		2,500		205,375
				598,045
Data Processing/Management — 1.3%
Broadridge Financial Solutions, Inc.		2,981		176,803
Dun & Bradstreet Corp.		264		27,213
Fidelity National Information Services, Inc.		10,837		686,090
First Data Corp., Class A†		3,405		44,061
Fiserv, Inc.†		11,889		1,219,574

Security Description	Shares		Value (Note 2)
Data Processing/Management (continued)
Jack Henry & Associates, Inc.		2,034	$	172,015
Paychex, Inc.		10,686		577,151
				2,902,907
Decision Support Software — 0.2%
MSCI, Inc.		5,475		405,588
Dental Supplies & Equipment — 0.9%
Align Technology, Inc.†		18,009		1,309,074
DENTSPLY SIRONA, Inc.		11,164		688,038
Patterson Cos., Inc.		1,170		54,440
				2,051,552
Diagnostic Equipment — 0.0%
VWR Corp.†		384		10,391
Diagnostic Kits — 0.3%
Alere, Inc.†		1,358		68,729
IDEXX Laboratories, Inc.†		7,326		573,772
				642,501
Dialysis Centers — 0.1%
DaVita HealthCare Partners, Inc.†		4,362		320,084
Disposable Medical Products — 0.2%
C.R. Bard, Inc.		1,845		373,926
Distribution/Wholesale — 1.4%
Fastenal Co.		32,781		1,606,269
Fossil Group, Inc.†		854		37,935
Genuine Parts Co.		3,516		349,350
HD Supply Holdings, Inc.†		4,239		140,184
Ingram Micro, Inc., Class A		215		7,721
LKQ Corp.†		7,565		241,550
Watsco, Inc.		646		87,042
WW Grainger, Inc.		2,368		552,762
				3,022,813
Diversified Financial Services — 0.3%
Julius Baer Group, Ltd.		15,871		681,683
Diversified Manufacturing Operations — 0.4%
A.O. Smith Corp.		1,845		140,792
Carlisle Cos., Inc.		351		34,924
Colfax Corp.†		4,400		125,796
Ingersoll-Rand PLC		459		28,463
Parker-Hannifin Corp.		1,561		173,396
Textron, Inc.		10,065		366,970
				870,341
Diversified Operations — 0.0%
Leucadia National Corp.		1,094		17,690
Drug Delivery Systems — 0.8%
Catalent, Inc.†		12,000		320,040
DexCom, Inc.†		20,363		1,382,851
				1,702,891
E-Commerce/Products — 0.2%
The Honest Company, Inc.†(1)(2)(3)		1,850		84,915
Vipshop Holdings, Ltd. ADR†		12,400		159,712
Wayfair, Inc., Class A†		3,430		148,245
				392,872

187

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Services — 1.9%
Ctrip.com International, Ltd. ADR†		5,800	$	256,708
Expedia, Inc.		17,681		1,906,365
Groupon, Inc.†		11,236		44,832
IAC/InterActiveCorp		1,826		85,968
Liberty Ventures, Series A†		3,524		137,859
Match Group, Inc.†		8,550		94,563
MercadoLibre, Inc.		1,300		153,205
TripAdvisor, Inc.†		4,688		311,752
Zillow Group, Inc., Class A†		14,811		378,421
Zillow Group, Inc., Class C†		33,547		796,070
				4,165,743
E-Services/Consulting — 0.5%
CDW Corp.		25,217		1,046,505
Electric Products-Misc. — 0.3%
AMETEK, Inc.		11,006		550,080
Electric-Transmission — 0.0%
ITC Holdings Corp.		1,423		62,000
Electronic Components-Misc. — 0.0%
Gentex Corp.		3,657		57,378
Jabil Circuit, Inc.		894		17,228
				74,606
Electronic Components-Semiconductors — 1.4%
ARM Holdings PLC ADR		8,400		366,996
Cavium, Inc.†		4,700		287,452
IPG Photonics Corp.†		3,058		293,813
Microchip Technology, Inc.		10,387		500,653
Microsemi Corp.†		5,300		203,043
ON Semiconductor Corp.†		9,853		94,490
Qorvo, Inc.†		3,513		177,090
Skyworks Solutions, Inc.		10,053		783,129
Xilinx, Inc.		6,585		312,327
				3,018,993
Electronic Connectors — 0.5%
Amphenol Corp., Class A		18,983		1,097,597
Electronic Design Automation — 0.1%
Cadence Design Systems, Inc.†		7,278		171,615
Synopsys, Inc.†		281		13,612
				185,227
Electronic Measurement Instruments — 0.3%
Agilent Technologies, Inc.		6,700		266,995
Fitbit, Inc., Class A†		704		10,666
FLIR Systems, Inc.		2,198		72,424
Keysight Technologies, Inc.†		6,534		181,253
National Instruments Corp.		614		18,487
Trimble Navigation, Ltd.†		6,442		159,762
				709,587
Electronic Security Devices — 0.4%
Allegion PLC		8,779		559,310
Tyco International PLC		9,153		336,007
				895,317

Security Description	Shares		Value (Note 2)
Energy-Alternate Sources — 0.0%
SolarCity Corp.†		1,470	$	36,132
SunEdison, Inc.†		6,233		3,367
TerraForm Power, Inc., Class A		64		554
				40,053
Engineering/R&D Services — 0.0%
AECOM†		492		15,149
Enterprise Software/Service — 3.2%
Atlassian Corp PLC, Class A†		19,437		488,841
Atlassian Corp. PLC, Class A FDR†(2)(3)(4)		6,717		160,486
CDK Global, Inc.		3,985		185,502
Guidewire Software, Inc.†		20,319		1,106,979
Inovalon Holdings, Inc., Class A†		629		11,649
Proofpoint, Inc.†		1,900		102,182
Qlik Technologies, Inc.†		4,500		130,140
Ultimate Software Group, Inc.†		4,813		931,315
Veeva Systems, Inc., Class A†		59,371		1,486,650
Workday, Inc., Class A†		32,337		2,484,775
				7,088,519
Entertainment Software — 0.5%
Activision Blizzard, Inc.		4,500		152,280
Electronic Arts, Inc.†		14,723		973,338
				1,125,618
Filtration/Separation Products — 0.2%
CLARCOR, Inc.		2,700		156,033
Donaldson Co., Inc.		10,355		330,428
				486,461
Finance-Auto Loans — 0.0%
Ally Financial, Inc.†		885		16,567
Credit Acceptance Corp.†		210		38,126
				54,693
Finance-Consumer Loans — 0.0%
LendingClub Corp.†		1,659		13,770
Santander Consumer USA Holdings, Inc.†		122		1,280
SLM Corp.†		9,740		61,946
				76,996
Finance-Credit Card — 0.3%
Alliance Data Systems Corp.†		3,041		669,020
Finance-Investment Banker/Broker — 0.9%
E*TRADE Financial Corp.†		9,900		242,451
Interactive Brokers Group, Inc., Class A		124		4,876
Lazard, Ltd., Class A		10,733		416,440
LPL Financial Holdings, Inc.		5,349		132,655
Raymond James Financial, Inc.		11,407		543,087
TD Ameritrade Holding Corp.		18,458		581,981
				1,921,490
Finance-Leasing Companies — 0.4%
AerCap Holdings NV†		25,778		999,155
Air Lease Corp.		133		4,272
				1,003,427

188

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Mortgage Loan/Banker — 0.3%
CoreLogic, Inc.†		9,905	$	343,703
FNF Group		12,500		423,750
				767,453
Finance-Other Services — 0.6%
CBOE Holdings, Inc.		8,575		560,205
Intercontinental Exchange, Inc.		2,885		678,379
				1,238,584
Food-Baking — 0.1%
Flowers Foods, Inc.		14,306		264,089
Food-Confectionery — 0.4%
Hershey Co.		8,222		757,164
J.M. Smucker Co.		1,200		155,808
				912,972
Food-Dairy Products — 0.1%
WhiteWave Foods Co.†		4,354		176,947
Food-Meat Products — 0.1%
Hormel Foods Corp.		6,654		287,719
Tyson Foods, Inc., Class A		373		24,864
				312,583
Food-Misc./Diversified — 1.2%
Blue Buffalo Pet Products, Inc.†		7,828		200,866
Campbell Soup Co.		2,549		162,601
ConAgra Foods, Inc.		1,443		64,387
Hain Celestial Group, Inc.†		7,850		321,144
Ingredion, Inc.		217		23,173
Kellogg Co.		5,590		427,914
McCormick & Co., Inc.		7,377		733,864
Nomad Foods, Ltd.†		81,507		734,378
				2,668,327
Food-Retail — 0.3%
Sprouts Farmers Market, Inc.†		9,013		261,737
Whole Foods Market, Inc.		11,761		365,885
				627,622
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		4,607		215,285
Footwear & Related Apparel — 0.1%
Skechers U.S.A., Inc., Class A†		3,051		92,903
Wolverine World Wide, Inc.		4,100		75,522
				168,425
Funeral Services & Related Items — 0.2%
Service Corp. International		17,425		430,049
Gambling (Non-Hotel) — 0.0%
International Game Technology PLC		1,574		28,726
Garden Products — 0.2%
Scotts Miracle-Gro Co., Class A		1,005		73,134
Toro Co.		3,784		325,878
				399,012
Gas-Distribution — 0.2%
Atmos Energy Corp.		3,600		267,336
NiSource, Inc.		9,200		216,752
				484,088

Security Description	Shares		Value (Note 2)
Gold Mining — 0.0%
Royal Gold, Inc.		84	$	4,308
Hazardous Waste Disposal — 0.6%
Clean Harbors, Inc.†		985		48,600
Stericycle, Inc.†		10,723		1,353,135
				1,401,735
Home Decoration Products — 0.2%
Newell Rubbermaid, Inc.		10,567		468,012
Home Furnishings — 0.2%
Leggett & Platt, Inc.		3,426		165,818
Tempur Sealy International, Inc.†		2,817		171,246
				337,064
Hotels/Motels — 2.3%
Choice Hotels International, Inc.		5,380		290,789
Diamond Resorts International, Inc.†		53,154		1,291,642
Extended Stay America, Inc.		10,584		172,519
Hilton Worldwide Holdings, Inc.		48,064		1,082,401
Marriott International, Inc., Class A		10,467		745,041
Starwood Hotels & Resorts Worldwide, Inc.		4,249		354,494
Wyndham Worldwide Corp.		16,410		1,254,217
				5,191,103
Housewares — 0.0%
Tupperware Brands Corp.		1,171		67,895
Human Resources — 0.3%
ManpowerGroup, Inc.		3,300		268,686
Robert Half International, Inc.		6,658		310,130
Team Health Holdings, Inc.†		2,300		96,163
				674,979
Independent Power Producers — 0.0%
Calpine Corp.†		1,073		16,277
Industrial Audio & Video Products — 0.0%
GoPro, Inc., Class A†		2,217		26,515
Industrial Automated/Robotic — 0.4%
Cognex Corp.		5,966		232,376
Nordson Corp.		3,713		282,336
Rockwell Automation, Inc.		3,345		380,494
				895,206
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		1,900		273,695
Airgas, Inc.		379		53,682
				327,377
Instruments-Controls — 0.5%
Mettler-Toledo International, Inc.†		1,794		618,499
Sensata Technologies Holding NV†		11,500		446,660
				1,065,159
Instruments-Scientific — 0.2%
FEI Co.		2,000		178,020
PerkinElmer, Inc.		435		21,515
Waters Corp.†		2,056		271,228
				470,763

189

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance Brokers — 0.8%
Aon PLC		12,809	$	1,337,900
Arthur J. Gallagher & Co.		2,317		103,060
Erie Indemnity Co., Class A		602		55,980
Willis Towers Watson PLC		2,706		321,094
				1,818,034
Insurance-Property/Casualty — 0.1%
AmTrust Financial Services, Inc.		104		2,692
Markel Corp.†		34		30,313
Progressive Corp.		6,900		242,466
				275,471
Internet Application Software — 0.4%
Splunk, Inc.†		6,315		308,993
Zendesk, Inc.†		31,554		660,425
				969,418
Internet Content-Entertainment — 0.2%
Pandora Media, Inc.†		5,257		47,050
Twitter, Inc.†		20,758		343,545
				390,595
Internet Content-Information/News — 0.3%
LinkedIn Corp., Class A†		4,920		562,602
Yelp, Inc.†		1,615		32,106
				594,708
Internet Infrastructure Software — 0.2%
F5 Networks, Inc.†		3,288		348,035
Internet Security — 0.3%
FireEye, Inc.†		3,430		61,706
VeriSign, Inc.†		7,972		705,841
				767,547
Investment Management/Advisor Services — 1.2%
Affiliated Managers Group, Inc.†		1,360		220,864
Ameriprise Financial, Inc.		3,757		353,196
Artisan Partners Asset Management, Inc., Class A		881		27,170
Eaton Vance Corp.		2,929		98,180
Federated Investors, Inc., Class B		2,330		67,221
Financial Engines, Inc.		3,600		113,148
Invesco, Ltd.		30,914		951,224
Legg Mason, Inc.		794		27,536
NorthStar Asset Management Group, Inc.		4,821		54,718
T. Rowe Price Group, Inc.		6,481		476,094
Waddell & Reed Financial, Inc., Class A		1,965		46,256
WisdomTree Investments, Inc.		9,900		113,157
				2,548,764
Lighting Products & Systems — 0.1%
Acuity Brands, Inc.		1,079		235,373
Machine Tools & Related Products — 0.0%
Lincoln Electric Holdings, Inc.		1,730		101,326
Machinery-Electrical — 0.0%
Babcock & Wilcox Enterprises, Inc.†		264		5,650
Regal Beloit Corp.		57		3,596
				9,246

Security Description	Shares		Value (Note 2)
Machinery-General Industrial — 1.7%
BWX Technologies, Inc.		529	$	17,753
IDEX Corp.		4,616		382,574
Middleby Corp.†		16,701		1,783,166
Roper Technologies, Inc.		3,256		595,099
Wabtec Corp.		6,701		531,322
Zebra Technologies Corp., Class A†		6,385		440,565
				3,750,479
Machinery-Pumps — 0.5%
Flowserve Corp.		6,557		291,196
Graco, Inc.		6,157		516,942
Xylem, Inc.		5,500		224,950
				1,033,088
Medical Information Systems — 1.4%
Allscripts Healthcare Solutions, Inc.†		1,398		18,467
athenahealth, Inc.†		8,687		1,205,582
Cerner Corp.†		30,816		1,632,015
IMS Health Holdings, Inc.†		3,323		88,226
Medidata Solutions, Inc.†		2,700		104,517
				3,048,807
Medical Instruments — 1.7%
Bio-Techne Corp.		381		36,012
Boston Scientific Corp.†		2,600		48,906
Bruker Corp.		9,260		259,280
Edwards Lifesciences Corp.†		5,350		471,924
Intuitive Surgical, Inc.†		4,429		2,662,050
St. Jude Medical, Inc.		3,944		216,920
				3,695,092
Medical Labs & Testing Services — 0.0%
Laboratory Corp. of America Holdings†		825		96,632
Medical Products — 1.4%
Becton Dickinson and Co.		7,898		1,199,074
Cooper Cos., Inc.		2,717		418,337
Henry Schein, Inc.†		4,078		703,985
Hill-Rom Holdings, Inc.		1,294		65,088
Teleflex, Inc.		1,900		298,319
Varian Medical Systems, Inc.†		2,480		198,450
West Pharmaceutical Services, Inc.		2,400		166,368
Zimmer Biomet Holdings, Inc.		260		27,724
				3,077,345
Medical-Biomedical/Gene — 2.4%
Alnylam Pharmaceuticals, Inc.†		7,182		450,814
BioMarin Pharmaceutical, Inc.†		8,592		708,668
Bluebird Bio, Inc.†		2,089		88,783
Charles River Laboratories International, Inc.†		1,177		89,381
Illumina, Inc.†		2,986		484,060
Incyte Corp.†		20,494		1,485,200
Intercept Pharmaceuticals, Inc.†		1,095		140,675
Intrexon Corp.†		1,151		39,007
Ionis Pharmaceuticals, Inc.†		9,350		378,675
Juno Therapeutics, Inc.†		295		11,237

190

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Medivation, Inc.†		3,910	$	179,782
Puma Biotechnology, Inc.†		1,621		47,609
Regeneron Pharmaceuticals, Inc.†		1,567		564,810
Seattle Genetics, Inc.†		6,218		218,190
Ultragenyx Pharmaceutical, Inc.†		1,000		63,310
United Therapeutics Corp.†		2,149		239,463
Vertex Pharmaceuticals, Inc.†		1,858		147,692
				5,337,356
Medical-Drugs — 2.8%
ACADIA Pharmaceuticals, Inc.†		8,600		240,456
Akorn, Inc.†		5,847		137,580
Alkermes PLC†		7,461		255,091
Allergan PLC†		4,576		1,226,505
Clovis Oncology, Inc.†		1,000		19,200
Eisai Co., Ltd.		12,100		727,860
Endo International PLC†		6,231		175,403
Horizon Pharma PLC†		3,200		53,024
Ironwood Pharmaceuticals, Inc.†		5,000		54,700
Jazz Pharmaceuticals PLC†		2,818		367,890
Mallinckrodt PLC†		3,045		186,598
Ono Pharmaceutical Co., Ltd.		24,400		1,033,062
OPKO Health, Inc.†		7,499		77,915
Pacira Pharmaceuticals, Inc.†		1,600		84,768
Quintiles Transnational Holdings, Inc.†		4,464		290,606
Zoetis, Inc.		26,534		1,176,252
				6,106,910
Medical-Generic Drugs — 0.5%
Mylan NV†		20,755		961,994
Perrigo Co. PLC		671		85,841
				1,047,835
Medical-HMO — 0.4%
Centene Corp.†		6,652		409,559
Humana, Inc.		1,500		274,425
WellCare Health Plans, Inc.†		2,100		194,775
				878,759
Medical-Hospitals — 0.3%
Acadia Healthcare Co., Inc.†		5,684		313,245
LifePoint Health, Inc.†		106		7,341
Tenet Healthcare Corp.†		2,466		71,341
Universal Health Services, Inc., Class B		1,709		213,147
				605,074
Medical-Wholesale Drug Distribution — 0.4%
AmerisourceBergen Corp.		10,532		911,545
Premier, Inc., Class A†		934		31,158
				942,703
Miscellaneous Manufacturing — 0.0%
AptarGroup, Inc.		286		22,425
Motion Pictures & Services — 0.0%
Lions Gate Entertainment Corp.		2,360		51,566

Security Description	Shares		Value (Note 2)
Motorcycle/Motor Scooter — 0.1%
Harley-Davidson, Inc.		5,103	$	261,937
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		305		11,666
Multimedia — 0.2%
FactSet Research Systems, Inc.		1,887		285,937
Markit, Ltd.†		4,700		166,145
				452,082
Networking Products — 0.6%
Arista Networks, Inc.†		9,284		585,820
Palo Alto Networks, Inc.†		4,403		718,306
				1,304,126
Non-Hazardous Waste Disposal — 0.1%
Covanta Holding Corp.		2,845		47,967
Waste Connections, Inc.		3,200		206,688
				254,655
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc.		1,939		41,766
Office Supplies & Forms — 0.1%
Avery Dennison Corp.		2,103		151,647
Oil Companies-Exploration & Production — 1.5%
Cabot Oil & Gas Corp.		15,487		351,710
Cimarex Energy Co.		1,200		116,724
Concho Resources, Inc.†		5,607		566,531
Continental Resources, Inc.†		700		21,252
Diamondback Energy, Inc.†		7,591		585,874
Energen Corp.		7,715		282,292
EQT Corp.		1,800		121,068
Memorial Resource Development Corp.†		2,229		22,691
Newfield Exploration Co.†		11,200		372,400
Pioneer Natural Resources Co.		5,618		790,677
Range Resources Corp.		4,776		154,647
				3,385,866
Oil Field Machinery & Equipment — 0.0%
FMC Technologies, Inc.†		3,738		102,272
Oil Refining & Marketing — 0.1%
CVR Energy, Inc.		132		3,445
HollyFrontier Corp.		721		25,466
Murphy USA, Inc.†		66		4,056
Tesoro Corp.		1,990		171,160
				204,127
Oil-Field Services — 0.1%
Oceaneering International, Inc.		3,328		110,623
RPC, Inc.		177		2,510
Targa Resources Corp.		679		20,275
				133,408
Paper & Related Products — 0.2%
International Paper Co.		9,945		408,143
Patient Monitoring Equipment — 0.4%
Insulet Corp.†		26,321		872,804

191

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Physicians Practice Management — 0.2%
Envision Healthcare Holdings, Inc.†		11,816	$	241,046
MEDNAX, Inc.†		4,040		261,065
				502,111
Pipelines — 0.0%
ONEOK, Inc.		2,336		69,753
Platinum — 0.1%
Stillwater Mining Co.†		17,400		185,310
Poultry — 0.0%
Pilgrim's Pride Corp.		171		4,343
Power Converter/Supply Equipment — 0.2%
Generac Holdings, Inc.†		5,400		201,096
Hubbell, Inc.		1,589		168,323
SunPower Corp.†		101		2,256
				371,675
Precious Metals — 0.0%
Tahoe Resources, Inc.		509		5,105
Printing-Commercial — 0.0%
RR Donnelley & Sons Co.		2,723		44,657
Professional Sports — 0.0%
Madison Square Garden Co., Class A†		509		84,677
Quarrying — 0.1%
Compass Minerals International, Inc.		2,335		165,458
Radio — 0.1%
Sirius XM Holdings, Inc.†		57,171		225,825
Real Estate Investment Trusts — 3.1%
American Campus Communities, Inc.		3,800		178,942
Boston Properties, Inc.		3,482		442,493
Columbia Property Trust, Inc.		379		8,334
Crown Castle International Corp.		16,500		1,427,250
Digital Realty Trust, Inc.		2,105		186,271
Empire State Realty Trust, Inc., Class A		1,304		22,859
Equinix, Inc.		7,442		2,461,144
Equity LifeStyle Properties, Inc.		2,094		152,297
Extra Space Storage, Inc.		3,023		282,530
Federal Realty Investment Trust		3,106		484,691
Four Corners Property Trust, Inc.		282		5,062
Gaming and Leisure Properties, Inc.		296		9,152
Healthcare Trust of America, Inc., Class A		304		8,944
Iron Mountain, Inc.		7,052		239,133
Lamar Advertising Co. Class A		2,012		123,738
Omega Healthcare Investors, Inc.		1,234		43,560
Post Properties, Inc.		456		27,241
Tanger Factory Outlet Centers, Inc.		2,382		86,681
Taubman Centers, Inc.		2,569		182,990
Welltower, Inc.		3,932		272,645
Weyerhaeuser Co.		3,970		122,991
				6,768,948
Real Estate Management/Services — 0.3%
CBRE Group, Inc., Class A†		7,113		204,997
Jones Lang LaSalle, Inc.		3,011		353,251
Realogy Holdings Corp.†		1,326		47,882

Security Description	Shares		Value (Note 2)
Real Estate Management/Services (continued)
WeWork Cos., Inc., Class A†(1)(2)(3)		2,244	$	84,473
				690,603
Real Estate Operations & Development — 0.0%
Howard Hughes Corp.†		397		42,038
Recreational Vehicles — 0.2%
Brunswick Corp.		1,698		81,470
Polaris Industries, Inc.		3,452		339,953
				421,423
Rental Auto/Equipment — 0.2%
Aaron's, Inc.		238		5,974
Avis Budget Group, Inc.†		6,287		172,012
Hertz Global Holdings, Inc.†		14,396		151,590
United Rentals, Inc.†		2,411		149,940
				479,516
Resort/Theme Parks — 0.0%
Six Flags Entertainment Corp.		1,788		99,216
Respiratory Products — 0.1%
ResMed, Inc.		3,504		202,601
Retail-Apparel/Shoe — 2.5%
Burlington Stores, Inc.†		6,400		359,936
Coach, Inc.		6,760		271,008
DSW, Inc., Class A		107		2,958
Foot Locker, Inc.		3,007		193,952
Gap, Inc.		5,926		174,224
Kate Spade & Co.†		56,369		1,438,537
L Brands, Inc.		12,954		1,137,491
lululemon athletica, Inc.†		4,573		309,638
PVH Corp.		3,700		366,522
Ross Stores, Inc.		22,191		1,284,859
Urban Outfitters, Inc.†		2,183		72,235
				5,611,360
Retail-Arts & Crafts — 0.2%
Michaels Cos., Inc.†		13,058		365,232
Retail-Auto Parts — 1.7%
Advance Auto Parts, Inc.		6,244		1,001,163
AutoZone, Inc.†		1,650		1,314,538
O'Reilly Automotive, Inc.†		4,910		1,343,671
				3,659,372
Retail-Automobile — 0.6%
AutoNation, Inc.†		1,811		84,538
CarMax, Inc.†		16,903		863,743
Copart, Inc.†		8,211		334,762
Penske Automotive Group, Inc.		395		14,971
				1,298,014
Retail-Bedding — 0.1%
Bed Bath & Beyond, Inc.†		4,260		211,466
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		10,873		274,543
MSC Industrial Direct Co., Inc., Class A		362		27,624
				302,167

192

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Discount — 1.0%
Dollar General Corp.		16,853	$	1,442,617
Dollar Tree, Inc.†		9,748		803,820
				2,246,437
Retail-Drug Store — 0.1%
Rite Aid Corp.†		28,708		233,970
Retail-Gardening Products — 0.4%
Tractor Supply Co.		9,392		849,600
Retail-Home Furnishings — 0.0%
Restoration Hardware Holdings, Inc.†		1,800		75,420
Retail-Jewelry — 0.5%
Signet Jewelers, Ltd.		5,196		644,460
Tiffany & Co.		6,618		485,629
				1,130,089
Retail-Mail Order — 0.1%
Williams-Sonoma, Inc.		5,977		327,181
Retail-Major Department Stores — 0.1%
Nordstrom, Inc.		3,489		199,606
Sears Holdings Corp.†		32		490
				200,096
Retail-Misc./Diversified — 0.2%
CST Brands, Inc.		1,575		60,307
Five Below, Inc.†		4,000		165,360
PriceSmart, Inc.		1,400		118,412
Sally Beauty Holdings, Inc.†		3,921		126,962
				471,041
Retail-Office Supplies — 0.0%
Office Depot, Inc.†		2,408		17,097
Retail-Perfume & Cosmetics — 0.3%
Ulta Salon Cosmetics & Fragrance, Inc.†		3,096		599,819
Retail-Petroleum Products — 0.0%
World Fuel Services Corp.		323		15,691
Retail-Regional Department Stores — 0.1%
Dillard's, Inc., Class A		69		5,859
Macy's, Inc.		5,651		249,152
				255,011
Retail-Restaurants — 1.9%
Bloomin' Brands, Inc.		6,100		102,907
Brinker International, Inc.		5,219		239,813
Chipotle Mexican Grill, Inc.†		1,420		668,777
Darden Restaurants, Inc.		622		41,239
Domino's Pizza, Inc.		1,371		180,780
Dunkin' Brands Group, Inc.		2,393		112,878
Jack in the Box, Inc.		8,931		570,423
Panera Bread Co., Class A†		10,318		2,113,436
Papa John's International, Inc.		2,700		146,313
Restaurant Brands International LP		20		775
				4,177,341

Security Description	Shares		Value (Note 2)
Retail-Sporting Goods — 0.6%
Cabela's, Inc.†		118	$	5,745
Dick's Sporting Goods, Inc.		27,616		1,291,048
Vista Outdoor, Inc.†		206		10,694
				1,307,487
Retail-Vitamins & Nutrition Supplements — 0.0%
GNC Holdings, Inc., Class A		2,153		68,358
Retirement/Aged Care — 0.0%
Brookdale Senior Living, Inc.†		988		15,689
Satellite Telecom — 0.0%
DigitalGlobe, Inc.†		4,700		81,310
Semiconductor Components-Integrated Circuits — 0.9%
Analog Devices, Inc.		7,135		422,321
Atmel Corp.		10,380		84,286
Integrated Device Technology, Inc.†		6,100		124,684
Linear Technology Corp.		13,056		581,775
Maxim Integrated Products, Inc.		2,435		89,559
NXP Semiconductors NV†		9,177		743,979
				2,046,604
Semiconductor Equipment — 0.8%
Applied Materials, Inc.		60,154		1,274,062
KLA-Tencor Corp.		3,977		289,565
Lam Research Corp.		2,811		232,189
				1,795,816
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc.		1,208		165,424
Silver Mining — 0.1%
Silver Wheaton Corp.		9,400		155,852
Soap & Cleaning Preparation — 0.3%
Church & Dwight Co., Inc.		6,553		604,056
Steel Pipe & Tube — 0.1%
Valmont Industries, Inc.		1,429		176,967
Steel-Producers — 0.0%
Carpenter Technology Corp.		2,100		71,883
Steel Dynamics, Inc.		665		14,969
				86,852
Telecom Services — 0.0%
Level 3 Communications, Inc.†		855		45,187
Telecommunication Equipment — 0.1%
ARRIS International PLC†		1,733		39,721
CommScope Holding Co., Inc.†		1,158		32,331
Juniper Networks, Inc.		1,737		44,311
				116,363
Telephone-Integrated — 0.0%
Zayo Group Holdings, Inc.†		3,087		74,829
Television — 0.0%
AMC Networks, Inc., Class A†		1,488		96,631
Textile-Home Furnishings — 0.2%
Mohawk Industries, Inc.†		2,777		530,129
Theaters — 0.1%
Cinemark Holdings, Inc.		2,880		103,190
Regal Entertainment Group, Class A		2,057		43,485
				146,675

193

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Therapeutics — 0.1%
Agios Pharmaceuticals, Inc.†		1,342	$	54,485
Neurocrine Biosciences, Inc.†		1,800		71,190
				125,675
Tools-Hand Held — 0.2%
Snap-on, Inc.		3,144		493,577
Stanley Black & Decker, Inc.		350		36,823
				530,400
Toys — 0.2%
Hasbro, Inc.		2,247		179,985
Mattel, Inc.		5,400		181,548
				361,533
Transactional Software — 0.1%
Black Knight Financial Services, Inc., Class A†		10,150		314,955
Transport-Equipment & Leasing — 0.0%
AMERCO		85		30,371
Transport-Marine — 0.1%
Kirby Corp.†		2,500		150,725
Teekay Corp.		448		3,880
				154,605
Transport-Rail — 0.6%
Genesee & Wyoming, Inc., Class A†		4,214		264,218
Kansas City Southern		11,230		959,603
				1,223,821
Transport-Services — 0.4%
C.H. Robinson Worldwide, Inc.		5,826		432,464
Expeditors International of Washington, Inc.		8,557		417,667
				850,131
Transport-Truck — 0.9%
J.B. Hunt Transport Services, Inc.		5,687		479,073
Landstar System, Inc.		18,656		1,205,364
Old Dominion Freight Line, Inc.†		4,835		336,613
				2,021,050
Veterinary Diagnostics — 0.1%
VCA, Inc.†		1,927		111,169
Vitamins & Nutrition Products — 0.5%
Herbalife, Ltd.†		1,554		95,664
Mead Johnson Nutrition Co.		11,236		954,723
				1,050,387
Web Hosting/Design — 0.0%
GoDaddy, Inc., Class A†		585		18,913
Wireless Equipment — 0.2%
Motorola Solutions, Inc.		6,510		492,807
X-Ray Equipment — 0.8%
Hologic, Inc.†		52,793		1,821,358
Total Common Stocks (cost $188,018,471)				214,771,232

Security Description	Shares		Value (Note 2)
CONVERTIBLE PREFERRED SECURITIES — 1.5%
Advertising Services — 0.0%
Nanigans, Inc. Series B†(1)(2)(3)		6,300	$	68,786
Applications Software — 0.1%
Dropbox, Inc. Series A†(1)(2)(3)		1,047		10,690
Dropbox, Inc. Series A-1†(1)(2)(3)		5,146		52,541
Dropbox, Inc., Series C†(1)(2)(3)		3,310		67,458
Magic Leap, Inc. Series C†(1)(2)(3)		4,974		114,566
Tanium, Inc. Series G†(1)(2)(3)		32,619		155,266
				400,521
Computer Software — 0.1%
Zuora, Inc. Series F†(1)(2)(3)		35,671		125,919
E-Commerce/Products — 0.2%
Flipkart Online Services Pvt., Ltd. Series G†(1)(2)(3)		721		77,901
One Kings Lane, Inc. Series E†(1)(2)(3)		11,800		128,030
The Honest Company, Inc.†(1)(2)(3)		4,317		198,150
				404,081
E-Commerce/Services — 0.7%
Airbnb, Inc. Series D†(1)(2)(3)		2,091		190,915
Airbnb, Inc., Series E†(1)(2)(3)		2,711		247,522
Uber Technologies, Inc. Series E†(1)(2)(3)		25,472		1,205,056
				1,643,493
Electronic Forms — 0.1%
Docusign, Inc. Series B†(1)(2)(3)		358		5,832
Docusign, Inc., Series B-1†(1)(2)(3)		107		1,743
Docusign, Inc., Series D†(1)(2)(3)		257		4,187
Docusign, Inc., Series E†(1)(2)(3)		6,656		108,426
Docusign, Inc., Series F†(1)(2)(3)		1,498		24,402
				144,590
Entertainment Software — 0.1%
DraftKings, Inc. Series D†(1)(2)(3)		23,516		73,605
DraftKings, Inc. Series D-1†(1)(2)(3)		20,325		82,316
				155,921
Real Estate Management/Services — 0.2%
WeWork Companies, Inc. Series D-1†(1)(2)(3)		3,588		135,067
WeWork Companies, Inc. Series D-2†(1)(2)(3)		2,819		106,119
WeWork Companies, Inc. Series E†(1)(2)(3)		2,120		79,806
				320,992
Web Portals/ISP — 0.1%
Pinterest, Inc. Series G†(1)(2)(3)		19,490		125,321
Total Convertible Preferred Securities (cost $2,442,085)				3,389,624
EXCHANGE-TRADED FUNDS — 0.4%
iShares Russell Midcap Growth Index Fund (cost $3,323,691)		10,508		968,417
Total Long-Term Investment Securities (cost $193,784,247)				219,129,273

194

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares/ Principal Amount			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 0.0%
Registered Investment Companies — 0.0%
State Street Institutional U.S. Government Money Market Fund 0.24%(6)		32,812		$	32,812
T. Rowe Price Reserve Investment Fund 0.33%(6)		1,020			1,020
Total Short-Term Investment Securities (cost $33,832)					33,832
REPURCHASE AGREEMENTS — 1.0%
Bank of America Securities LLC Joint Repurchase Agreement(5)	$	490,000			490,000
Barclays Capital, Inc. Joint Repurchase Agreement(5)		215,000			215,000
BNP Paribas SA Joint Repurchase Agreement(5)		430,000			430,000
Deutsche Bank AG Joint Repurchase Agreement(5)		430,000			430,000
RBS Securities, Inc. Joint Repurchase Agreement(5)		300,000			300,000
State Street Bank and Trust Co. Joint Repurchase Agreement(5)		337,000			337,000
Total Repurchase Agreements (cost $2,202,000)					2,202,000
TOTAL INVESTMENTS (cost $196,020,079)(7)		99.9	%		221,365,105
Other assets less liabilities		0.1			115,934
NET ASSETS		100.0	%	$	221,481,039

†  Non-income producing security

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Illiquid Security. At March 31,2016, the aggregate value of these securities was $3,764,003 representing 1.7% of net assets.

(3)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary

markets exist. As of March 31, 2016, the Mid Cap Growth Portfolio held the following restricted securities:

Description	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
Atlassian Corp. PLC, Class A FDR	04/09/2014		6,717	$	107,472	$	160,486	$	23.89		0.07	%
Dropbox, Inc. Class A	11/07/2014		3,515		67,141		35,888		10.21		0.02
Dropbox, Inc. Class B	05/01/2012		844		7,637		8,617		10.21		0.00
The Honest Company, Inc.	08/20/2014		1,850		50,056		84,915		45.90		0.04
WeWork Cos., Inc. Class A	12/09/2014		722		12,022
	05/26/2015		1,286		18,224
	06/23/2015		236		7,762
			2,244		38,008		84,473		37.64		0.04
Convertible Preferred Securities
Airbnb, Inc. Series D	04/16/2014		2,091		85,131		190,915		91.30		0.09
Airbnb, Inc. Series E	06/24/2015		2,392		222,682
	07/14/2015		319		29,697
			2,711		252,379		247,522		91.30		0.11
Docusign, Inc. Series B	02/28/2014		358		4,701		5,832		16.29		0.00
Docusign, Inc. Series B-1	02/28/2014		107		1,405		1,743		16.29		0.00
Docusign, Inc. Series D	02/28/2014		257		3,375		4,187		16.29		0.00
Docusign, Inc. Series E	02/28/2014		6,656		87,409		108,426		16.29		0.05
Docusign, Inc. Series F	04/30/2015		1,498		28,601		24,402		16.29		0.01
DraftKings, Inc. Series D	07/13/2015		11,604		62,500
	07/17/2015		839		4,519
	08/11/2015		11,073		59,638
			23,516		126,657		73,605		3.13		0.03
DraftKings, Inc. Series D-1	08/11/2015		20,325		155,799		82,316		4.05		0.04
Dropbox, Inc. Series A	05/01/2012		1,047		9,474		10,690		10.21		0.00
Dropbox, Inc. Series A-1	05/01/2012		5,146		46,567		52,541		10.21		0.02
Dropbox, Inc. Series C	01/28/2014		3,310		63,225		67,458		20.38		0.03
Flipkart Online Services Pvt., Ltd. Series G	12/17/2014		721		86,347		77,901		108.05		0.04
The Honest Company, Inc.	08/20/2014		4,317		116,806		198,150		45.90		0.09
Magic Leap, Inc. Series C	12/28/2015		4,974		114,566		114,566		23.03		0.05
Nanigans, Inc. Series B	03/16/2015		6,300		68,787		68,786		10.92		0.03
One Kings Lane, Inc. Series E	01/28/2014		11,800		181,921		128,030		10.85		0.06
Pinterest, Inc. Series G	03/19/2015		19,490		139,921		125,321		6.43		0.06

195

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Description	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value Per Share		% of Net Assets
Convertible Preferred Securities (continued)
Tanium, Inc. Series G	08/26/2015		32,619	$	161,930	$	155,266	$	4.76		0.07	%
Uber Technologies, Inc. Series E	06/05/2014		25,472		395,148		1,205,056		47.31		0.54
WeWork Cos., Inc. Series D-1	12/09/2014		3,588		59,744		135,067		37.64		0.06
WeWork Cos., Inc. Series D-2	12/09/2014		2,819		46,940		106,119		37.64		0.05
WeWork Cos., Inc. Series E	06/23/2015		2,120		69,726		79,806		37.64		0.04
Zuora, Inc. Series F	01/15/2015		35,671		135,525		125,919		3.53		0.06
						$	3,764,003				1.70	%

(4)  Fair valued security. Securities are classified as Level 2 based on the securities valuation inputs; see Note 2.

(5)  See Note 2 for details of Joint Repurchase Agreements.

(6)  The rate shown is the 7-day yield as of March 31, 2016.

(7)  See Note 4 for cost of investments on a tax basis.

ADR — American Depositary Receipt

FDR — Federal Depositary Receipt

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	4	Long	S&P 400 E-Mini Index	June 2016	$	558,827	$	576,480	$	17,653

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Applications Software	$	6,123,004	$	—	$	44,505	$	6,167,509
E-Commerce/Products		307,957		—		84,915		392,872
Enterprise Software/Service		6,928,033		160,486		—		7,088,519
Real Estate Management/Services		606,130		—		84,473		690,603
Other Industries		200,431,729		—		—		200,431,729
Convertible Preferred Securities		—		—		3,389,624		3,389,624
Exchange-Traded Funds		968,417		—		—		968,417
Short-Term Investment Securities		33,832		—		—		33,832
Repurchase Agreements		—		2,202,000		—		2,202,000
Total Investments at Value	$	215,399,102	$	2,362,486	$	3,603,517	$	221,365,105
Other Financial Instruments:+
Futures Contracts	$	17,653	$	—	$	—	$	17,653

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $3,626,378 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

196

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

	Common Stocks			Convertible Preferred Securities			Preferred Securities
Balance as of March 31, 2015	$	212,663		$	2,216,627		$	59,318
Accrued Discounts		—			—			—
Accrued Premiums		—			—			—
Realized Gain		—			—			—
Realized Loss		—			—			—
Change in unrealized appreciation(1)		82,188			684,302			—
Change in unrealized depreciation(1)		(49,424	)		(305,395	)		(9,366	)
Net purchases		25,986			909,660			—
Net sales		(57,520	)		(115,570	)		(49,952	)
Transfers into Level 3		—			—			—
Transfers out of Level 3		—			—			—
Balance as of March 31, 2016	$	213,893		$	3,389,624		$	—

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at March 31, 2016 includes:

Common Stocks		Convertible Preferred Securities		Preferred Securities
$	43,550	$	380,995	$	—

Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at March 31, 2016.

The following is quantitative information about Level 3 fair value measurements:

Description	Value at March 31, 2016		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
Common Stocks	$	84,915	Market Approach	Enterprise Value/Revenue Multiple*	3.9x
				Discount for Lack of Marketability	10.00%
	$	84,473	Market Approach	Market Transaction Price*	$50.1923
				Discount for Lack of Marketability	25.0%
	$	44,505	Market Approach with	Enterprise Value/Revenue Multiple*	4.7x - 11.0x (6.833x)
			Option Pricing Method ("OPM")	Estimated 2017 Revenue Multiple*	8.0x
			and Income Approach	Discount for Lack of Marketability	10% - 27.50% (15.833%)
				Weighted Average Cost of Capital	18%
				Perpetual Growth Rate*	3.0%
				OPM assumptions:
				Volatility*	41.5%
				Term to liquidity event in years	3.0
				Risk-free rate	0.91%
Convertible Preferred Securities	$	183,352	Market Approach	Market Transaction Price*	$10.91850 - $23.033 ($16.97575)
	$	1,526,048	Market Approach	Market Transaction Price*	$48.7722 - $50.1923 ($49.4823)
				Discount for Lack of Marketability	6% - 25% (15.5%)
	$	593,980	Market Approach	Enterprise Value/Revenue Multiple*	3.9x - 6.7x (6.1625x)
				Discount for Lack of Marketability	10.00%
	$	155,921	Market Approach	Next Twelve Months Revenue Mutliple*	2.63x
				Discount for Lack of Marketability	36.9%
	$	155,266	Market Approach	Transaction Price*	$4.9600
				Enterprise Value/Revenue Multiple*	8.3x
				Discount for Lack of Marketability	10.0%
	$	77,901	Market Approach and	Enterprise Value/Revenue Multiple*	3.1x - 2.4x (2.75x)
			Income Approach	Discount for Lack of Marketability	8.25% - 10% (9.125%)
				Weighted Average Cost of Capital	18%
				Perpetual Growth Rate*	4.0%

197

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Description	Value at March 31, 2016		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
	$	438,437	Market Approach and	Transaction Price*	$93.0944
			Income Approach	Expected 2016 Revenue Multiple*	15.9x
				Projected 2017 Revenue Multiple*	17.6x
				Discount for Lack of Marketability	6% - 10% (7.33%)
				Weighted Average Cost of Capital	17%
				Perpetual Growth Rate*	3.5%
	$	128,030	Market Approach with	Last Twelve Months Revenue Mutliple*	0.8x
			Option Pricing Method ("OPM")	Discount for Lack of Marketability	10.0%
				OPM assumptions:
				Volatility*	40.0%
				Term to liquidity event in years	0.7
				Risk-free rate	0.0759%
	$	67,458	Market Approach with	Transaction Price*	$19.1012
			Option Pricing Method ("OPM")	Enterprise Value/Revenue Multiple*	4.8x
				Discount for Lack of Marketability	10.0%
				OPM assumptions:
				Volatility*	41.5%
				Term to liquidity event in years	3.0
				Risk-free rate	0.91%
	$	63,231	Market Approach with	Enterprise Value/Revenue Multiple*	4.7x - 11.0x (6.833x)
			Option Pricing Method ("OPM")	Estimated 2017 Revenue Multiple*	8.0x
			and Income Approach	Discount for Lack of Marketability	10% - 27.50% (15.833%)
				Weighted Average Cost of Capital	18%
				Perpetual Growth Rate*	3.0%
				OPM assumptions:
				Volatility*	41.5%
				Term to liquidity event in years	3.0
				Risk-free rate	0.91%

(1)  The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship.

See Notes to Financial Statements

198

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Real Estate Investment Trusts	11.1	%
Electric-Integrated	8.3
Oil Companies-Exploration & Production	5.0
Banks-Commercial	3.0
Banks-Super Regional	2.6
Diversified Manufacturing Operations	2.2
Food-Misc./Diversified	2.0
Insurance-Reinsurance	1.9
Gas-Distribution	1.8
Insurance-Multi-line	1.8
Medical Products	1.7
Registered Investment Companies	1.6
Insurance-Property/Casualty	1.5
Banks-Fiduciary	1.5
Insurance-Life/Health	1.4
Finance-Consumer Loans	1.3
Semiconductor Components-Integrated Circuits	1.3
Medical-Generic Drugs	1.2
Data Processing/Management	1.2
Building & Construction Products-Misc.	1.1
Retail-Apparel/Shoe	1.1
Repurchase Agreements	1.1
Chemicals-Diversified	1.1
Commercial Services	1.0
Finance-Investment Banker/Broker	1.0
Medical Labs & Testing Services	1.0
Computers-Memory Devices	1.0
Building Products-Cement	1.0
Chemicals-Specialty	0.9
Oil Refining & Marketing	0.9
Auto/Truck Parts & Equipment-Original	0.9
Medical Instruments	0.8
Brewery	0.8
E-Commerce/Services	0.8
Finance-Other Services	0.8
Tools-Hand Held	0.7
Insurance Brokers	0.7
Telephone-Integrated	0.7
Medical-Hospitals	0.7
Electronics-Military	0.7
Electronic Measurement Instruments	0.6
Electronic Components-Semiconductors	0.6
Steel-Producers	0.6
Airlines	0.6
Coatings/Paint	0.6
Oil-Field Services	0.6
Internet Security	0.6
Distribution/Wholesale	0.6
Computer Services	0.6
Agricultural Operations	0.5
Broadcast Services/Program	0.5
Building-Residential/Commercial	0.5
Retail-Misc./Diversified	0.5
Office Automation & Equipment	0.5
Electric-Distribution	0.5
Television	0.5
Home Decoration Products	0.5
Oil Field Machinery & Equipment	0.5
Water	0.5
Food-Confectionery	0.4

Apparel Manufacturers	0.4	%
Containers-Paper/Plastic	0.4
Savings & Loans/Thrifts	0.4
Food-Meat Products	0.4
Machinery-Pumps	0.4
Cosmetics & Toiletries	0.4
Investment Management/Advisor Services	0.4
Casino Hotels	0.3
Instruments-Scientific	0.3
Finance-Credit Card	0.3
Transport-Rail	0.3
Dental Supplies & Equipment	0.3
Retail-Regional Department Stores	0.3
Telecommunication Equipment	0.3
Independent Power Producers	0.3
Electronic Security Devices	0.3
Engines-Internal Combustion	0.3
Computers-Integrated Systems	0.3
Machinery-Farming	0.3
Food-Retail	0.3
Internet Infrastructure Software	0.3
Pipelines	0.3
Commercial Services-Finance	0.3
Real Estate Management/Services	0.3
Medical-Drugs	0.3
Advertising Agencies	0.3
Medical Information Systems	0.3
Motorcycle/Motor Scooter	0.3
Retail-Restaurants	0.3
Aerospace/Defense	0.3
Power Converter/Supply Equipment	0.2
Retail-Auto Parts	0.2
Oil & Gas Drilling	0.2
Retail-Mail Order	0.2
Disposable Medical Products	0.2
Textile-Home Furnishings	0.2
Telecom Equipment-Fiber Optics	0.2
Engineering/R&D Services	0.2
Non-Hazardous Waste Disposal	0.2
Food-Wholesale/Distribution	0.2
Entertainment Software	0.2
Physicians Practice Management	0.2
Semiconductor Equipment	0.2
Retail-Office Supplies	0.2
Machinery-Electrical	0.2
Machinery-General Industrial	0.2
Transport-Truck	0.2
Food-Canned	0.2
Gold Mining	0.2
Containers-Metal/Glass	0.2
Medical-HMO	0.2
Medical-Biomedical/Gene	0.2
Diagnostic Equipment	0.2
Publishing-Books	0.2
Aerospace/Defense-Equipment	0.2
Cruise Lines	0.2
Computers-Periphery Equipment	0.2
Multimedia	0.2
Telecom Services	0.2
Appliances	0.2

199

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Toys	0.2	%
Cable/Satellite TV	0.1
Food-Baking	0.1
Metal-Aluminum	0.1
Electronic Parts Distribution	0.1
Oil Companies-Integrated	0.1
Metal-Copper	0.1
Finance-Mortgage Loan/Banker	0.1
Applications Software	0.1
Machinery-Construction & Mining	0.1
Building-Heavy Construction	0.1
Electronic Components-Misc.	0.1
Computer Aided Design	0.1
Retail-Consumer Electronics	0.1
Agricultural Chemicals	0.1
Retail-Catalog Shopping	0.1
Dialysis Centers	0.1
Enterprise Software/Service	0.1
Rubber-Tires	0.1
Private Equity	0.1
Finance-Auto Loans	0.1
Publishing-Newspapers	0.1
Internet Content-Entertainment	0.1
Industrial Gases	0.1
Security Services	0.1
Electronic Design Automation	0.1
Diagnostic Kits	0.1
Retail-Sporting Goods	0.1
Human Resources	0.1
Energy-Alternate Sources	0.1
Transport-Marine	0.1
Diversified Operations	0.1
Electric-Transmission	0.1
Miscellaneous Manufacturing	0.1
	101.2	%

*  Calculated as a percentage of net assets

200

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.3%
Advertising Agencies — 0.3%
Interpublic Group of Cos., Inc.		34,508	$	791,959
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc., Class A		776		3,647
Aerospace/Defense — 0.3%
Rockwell Collins, Inc.		8,089		745,887
Spirit AeroSystems Holdings, Inc., Class A†		385		17,463
				763,350
Aerospace/Defense-Equipment — 0.2%
Harris Corp.		3,635		283,021
Orbital ATK, Inc.		2,139		185,964
Triumph Group, Inc.		1,741		54,807
				523,792
Agricultural Chemicals — 0.1%
Mosaic Co.		12,316		332,532
Agricultural Operations — 0.5%
Archer-Daniels-Midland Co.		19,835		720,209
Bunge, Ltd.		17,029		965,033
				1,685,242
Airlines — 0.6%
Alaska Air Group, Inc.		6,681		547,976
Copa Holdings SA, Class A		1,163		78,793
Delta Air Lines, Inc.		14,487		705,227
JetBlue Airways Corp.†		6,943		146,636
United Continental Holdings, Inc.†		8,178		489,535
				1,968,167
Apparel Manufacturers — 0.4%
Hanesbrands, Inc.		40,238		1,140,345
Ralph Lauren Corp.		1,998		192,327
				1,332,672
Appliances — 0.2%
Whirlpool Corp.		2,568		463,113
Applications Software — 0.1%
Nuance Communications, Inc.†		8,946		167,201
Verint Systems, Inc.†		6,728		224,580
				391,781
Auction Houses/Art Dealers — 0.0%
KAR Auction Services, Inc.		3,327		126,892
Auto-Heavy Duty Trucks — 0.0%
PACCAR, Inc.		1,203		65,792
Auto/Truck Parts & Equipment-Original — 0.9%
Allison Transmission Holdings, Inc.		50,963		1,374,982
BorgWarner, Inc.		12,427		477,197
Delphi Automotive PLC		9,931		745,024
Lear Corp.		668		74,261
				2,671,464

Security Description	Shares		Value (Note 2)
Banks-Commercial — 3.0%
Associated Banc-Corp.		5,391	$	96,715
Bank of Hawaii Corp.		1,541		105,219
BankUnited, Inc.		3,655		125,878
BB&T Corp.		26,194		871,474
BOK Financial Corp.		997		54,456
CIT Group, Inc.		6,152		190,897
Commerce Bancshares, Inc.		3,055		137,322
Cullen/Frost Bankers, Inc.		1,915		105,536
East West Bancorp, Inc.		5,085		165,161
First Horizon National Corp.		8,254		108,127
First Republic Bank		5,028		335,066
M&T Bank Corp.		30,788		3,417,468
PacWest Bancorp		9,006		334,573
Popular, Inc.		3,658		104,655
PrivateBancorp, Inc.		18,841		727,263
Regions Financial Corp.		47,379		371,925
Signature Bank†		148		20,146
SVB Financial Group†		673		68,680
Synovus Financial Corp.		4,708		136,108
TCF Financial Corp.		5,970		73,192
Wintrust Financial Corp.		16,574		734,891
Zions Bancorporation		45,376		1,098,553
				9,383,305
Banks-Fiduciary — 1.5%
Citizens Financial Group, Inc.		157,070		3,290,617
Northern Trust Corp.		18,866		1,229,497
				4,520,114
Banks-Super Regional — 2.6%
Comerica, Inc.		37,625		1,424,859
Fifth Third Bancorp		95,232		1,589,422
Huntington Bancshares, Inc.		304,122		2,901,324
KeyCorp		82,513		910,943
SunTrust Banks, Inc.		31,508		1,136,809
				7,963,357
Batteries/Battery Systems — 0.0%
Energizer Holdings, Inc.		2,198		89,041
Beverages-Wine/Spirits — 0.0%
Brown-Forman Corp., Class A		68		7,255
Brown-Forman Corp., Class B		312		30,723
				37,978
Brewery — 0.8%
Molson Coors Brewing Co., Class B		25,438		2,446,627
Broadcast Services/Program — 0.5%
Discovery Communications, Inc., Class A†		42,277		1,210,391
Discovery Communications, Inc., Class C†		872		23,544
Scripps Networks Interactive, Inc., Class A		5,988		392,214
				1,626,149

201

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building & Construction Products-Misc. — 1.1%
Armstrong World Industries, Inc.†		20,205	$	977,316
Fortune Brands Home & Security, Inc.		22,719		1,273,173
Owens Corning		21,801		1,030,751
				3,281,240
Building Products-Cement — 1.0%
Martin Marietta Materials, Inc.		10,123		1,614,720
Vulcan Materials Co.		13,227		1,396,374
				3,011,094
Building-Heavy Construction — 0.1%
Chicago Bridge & Iron Co. NV		3,462		126,675
SBA Communications Corp., Class A†		2,320		232,394
				359,069
Building-Residential/Commercial — 0.5%
D.R. Horton, Inc.		23,341		705,598
Lennar Corp., Class A		3,737		180,721
Lennar Corp., Class B		208		8,052
PulteGroup, Inc.		12,888		241,135
Toll Brothers, Inc.†		16,528		487,741
				1,623,247
Cable/Satellite TV — 0.1%
Cable One, Inc.		123		53,767
Cablevision Systems Corp., Class A		6,127		202,191
Liberty Broadband Corp., Class A†		923		53,681
Liberty Broadband Corp., Class C†		2,345		135,893
				445,532
Casino Hotels — 0.3%
MGM Resorts International†		48,066		1,030,535
Wynn Resorts, Ltd.		330		30,832
				1,061,367
Cellular Telecom — 0.0%
Sprint Corp.†		26,255		91,367
United States Cellular Corp.†		463		21,155
				112,522
Chemicals-Diversified — 1.1%
Akzo Nobel NV		8,928		608,534
Celanese Corp., Series A		33,992		2,226,476
Eastman Chemical Co.		3,946		285,020
FMC Corp.		1,303		52,602
Huntsman Corp.		2,650		35,245
Westlake Chemical Corp.		1,421		65,792
				3,273,669
Chemicals-Specialty — 0.9%
Albemarle Corp.		16,829		1,075,878
Ashland, Inc.		2,023		222,449
Brenntag AG		8,803		502,850
Cabot Corp.		2,243		108,404
Platform Specialty Products Corp.†		3,907		33,600
Sensient Technologies Corp.		9,332		592,209
Univar, Inc.†		23,107		396,978
				2,932,368

Security Description	Shares		Value (Note 2)
Coal — 0.0%
CONSOL Energy, Inc.		8,088	$	91,314
Coatings/Paint — 0.6%
Axalta Coating Systems, Ltd.†		66,836		1,951,611
Commercial Services — 1.0%
Aramark		26,513		878,111
Macquarie Infrastructure Corp.		2,442		164,688
Nielsen Holdings PLC		39,778		2,094,709
Quanta Services, Inc.†		4,373		98,655
				3,236,163
Commercial Services-Finance — 0.3%
H&R Block, Inc.		632		16,698
Sabre Corp.		27,424		793,102
Square, Inc., Class A†		247		3,774
TransUnion†		244		6,737
				820,311
Computer Aided Design — 0.1%
ANSYS, Inc.†		2,573		230,181
Autodesk, Inc.†		2,068		120,585
				350,766
Computer Services — 0.6%
Amdocs, Ltd.		19,478		1,176,861
Computer Sciences Corp.		4,905		168,683
CSRA, Inc.		4,905		131,944
DST Systems, Inc.		294		33,154
IHS, Inc., Class A†		350		43,456
Leidos Holdings, Inc.		2,155		108,440
Teradata Corp.†		1,290		33,850
				1,696,388
Computer Software — 0.0%
SS&C Technologies Holdings, Inc.		262		16,616
Computers-Integrated Systems — 0.3%
NCR Corp.†		28,770		861,086
Computers-Memory Devices — 1.0%
Brocade Communications Systems, Inc.		156,631		1,657,156
NetApp, Inc.		7,263		198,207
SanDisk Corp.		7,348		559,036
Western Digital Corp.		14,317		676,335
				3,090,734
Computers-Other — 0.0%
3D Systems Corp.†		2,501		38,690
Computers-Periphery Equipment — 0.2%
Lexmark International, Inc., Class A		15,415		515,323
Consulting Services — 0.0%
Booz Allen Hamilton Holding Corp.		266		8,054
Consumer Products-Misc. — 0.0%
Clorox Co.		959		120,892
Containers-Metal/Glass — 0.2%
Crown Holdings, Inc.†		2,755		136,620
Owens-Illinois, Inc.†		27,911		445,460
				582,080

202

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Containers-Paper/Plastic — 0.4%
Bemis Co., Inc.		3,069	$	158,913
Graphic Packaging Holding Co.		47,729		613,318
Sonoco Products Co.		3,567		173,249
WestRock Co.		8,316		324,573
				1,270,053
Cosmetics & Toiletries — 0.4%
Avon Products, Inc.		15,379		73,973
Edgewell Personal Care Co.		13,356		1,075,559
				1,149,532
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		376		20,789
Royal Caribbean Cruises, Ltd.		6,079		499,390
				520,179
Data Processing/Management — 1.2%
Dun & Bradstreet Corp.		896		92,360
Fidelity National Information Services, Inc.		48,879		3,094,529
First Data Corp., Class A†		23,386		302,615
Paychex, Inc.		1,468		79,287
				3,568,791
Dental Supplies & Equipment — 0.3%
DENTSPLY SIRONA, Inc.		15,079		929,319
Patterson Cos., Inc.		1,378		64,118
				993,437
Diagnostic Equipment — 0.2%
VWR Corp.†		20,662		559,114
Diagnostic Kits — 0.1%
Alere, Inc.†		1,077		54,507
QIAGEN NV†		8,201		183,210
				237,717
Dialysis Centers — 0.1%
DaVita HealthCare Partners, Inc.†		4,440		325,807
Disposable Medical Products — 0.2%
STERIS PLC		10,233		727,055
Distribution/Wholesale — 0.6%
Fossil Group, Inc.†		272		12,082
Genuine Parts Co.		382		37,955
Ingram Micro, Inc., Class A		5,214		187,235
LKQ Corp.†		31,452		1,004,262
WESCO International, Inc.†		9,268		506,682
				1,748,216
Diversified Manufacturing Operations — 2.2%
Carlisle Cos., Inc.		1,799		179,001
Colfax Corp.†		3,549		101,466
Crane Co.		1,700		91,562
Dover Corp.		5,669		364,687
Eaton Corp. PLC		12,503		782,188
Ingersoll-Rand PLC		37,527		2,327,049
ITT Corp.		3,152		116,277
Parker-Hannifin Corp.		2,681		297,805
Pentair PLC		17,315		939,512

Security Description	Shares		Value (Note 2)
Diversified Manufacturing Operations (continued)
SPX Corp.		1,449	$	21,764
Textron, Inc.		42,416		1,546,487
Trinity Industries, Inc.		5,476		100,266
				6,868,064
Diversified Operations — 0.1%
Leucadia National Corp.		10,058		162,638
E-Commerce/Services — 0.8%
Expedia, Inc.		11,116		1,198,527
IAC/InterActiveCorp		18,819		885,998
Match Group, Inc.†		27,245		301,330
Zillow Group, Inc., Class A†		625		15,969
Zillow Group, Inc., Class C†		1,286		30,517
				2,432,341
Electric-Distribution — 0.5%
PPL Corp.		39,193		1,492,078
Electric-Integrated — 8.3%
AES Corp.		96,641		1,140,364
Alliant Energy Corp.		3,993		296,600
Ameren Corp.		28,629		1,434,313
Avangrid, Inc.		2,032		81,504
CMS Energy Corp.		30,353		1,288,181
Consolidated Edison, Inc.		10,352		793,170
DTE Energy Co.		17,216		1,560,803
Edison International		11,516		827,885
Entergy Corp.		6,346		503,111
Eversource Energy		25,789		1,504,530
Exelon Corp.		18,997		681,232
FirstEnergy Corp.		58,259		2,095,576
Great Plains Energy, Inc.		5,453		175,859
Hawaiian Electric Industries, Inc.		3,797		123,023
MDU Resources Group, Inc.		6,885		133,982
NorthWestern Corp.		13,549		836,651
OGE Energy Corp.		7,054		201,956
PG&E Corp.		25,348		1,513,783
Pinnacle West Capital Corp.		29,343		2,202,779
Public Service Enterprise Group, Inc.		37,880		1,785,663
SCANA Corp.		25,359		1,778,934
TECO Energy, Inc.		8,311		228,802
WEC Energy Group, Inc.		21,714		1,304,360
Westar Energy, Inc.		18,768		931,081
Xcel Energy, Inc.		57,481		2,403,855
				25,827,997
Electric-Transmission — 0.1%
ITC Holdings Corp.		3,461		150,796
Electronic Components-Misc. — 0.1%
Garmin, Ltd.		4,187		167,313
Gentex Corp.		5,199		81,572
Jabil Circuit, Inc.		5,575		107,430
				356,315
Electronic Components-Semiconductors — 0.6%
Cree, Inc.†		3,625		105,487
Intersil Corp., Class A		19,897		266,023
Microchip Technology, Inc.		12,468		600,958
NVIDIA Corp.		19,017		677,576

203

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Semiconductors (continued)
ON Semiconductor Corp.†		1,167	$	11,192
Xilinx, Inc.		7,031		333,480
				1,994,716
Electronic Design Automation — 0.1%
Synopsys, Inc.†		5,082		246,172
Electronic Measurement Instruments — 0.6%
Agilent Technologies, Inc.		27,236		1,085,354
Fitbit, Inc., Class A†		484		7,333
FLIR Systems, Inc.		1,827		60,200
Keysight Technologies, Inc.†		19,495		540,791
National Instruments Corp.		3,100		93,341
Trimble Navigation, Ltd.†		8,685		215,388
				2,002,407
Electronic Parts Distribution — 0.1%
Arrow Electronics, Inc.†		3,382		217,835
Avnet, Inc.		4,801		212,684
				430,519
Electronic Security Devices — 0.3%
Tyco International PLC		24,867		912,868
Electronics-Military — 0.7%
L-3 Communications Holdings, Inc.		17,250		2,044,125
Energy-Alternate Sources — 0.1%
First Solar, Inc.†		2,670		182,815
SunEdison, Inc.†		770		416
TerraForm Power, Inc., Class A		1,713		14,817
				198,048
Engineering/R&D Services — 0.2%
AECOM†		4,614		142,065
Fluor Corp.		5,181		278,220
Jacobs Engineering Group, Inc.†		4,439		193,318
KBR, Inc.		5,099		78,933
				692,536
Engines-Internal Combustion — 0.3%
Cummins, Inc.		8,123		893,043
Enterprise Software/Service — 0.1%
CA, Inc.		10,581		325,789
Entertainment Software — 0.2%
Activision Blizzard, Inc.		17,836		603,570
Zynga, Inc., Class A†		27,157		61,918
				665,488
Filtration/Separation Products — 0.0%
Donaldson Co., Inc.		482		15,381
Finance-Auto Loans — 0.1%
Ally Financial, Inc.†		15,760		295,027
Finance-Consumer Loans — 1.3%
Navient Corp.		12,807		153,300
OneMain Holdings, Inc.†		1,841		50,499
Santander Consumer USA Holdings, Inc.†		2,964		31,092
SLM Corp.†		190,354		1,210,652
Synchrony Financial†		93,793		2,688,107
				4,133,650

Security Description	Shares		Value (Note 2)
Finance-Credit Card — 0.3%
Discover Financial Services		20,081	$	1,022,525
Finance-Investment Banker/Broker — 1.0%
E*TRADE Financial Corp.†		10,247		250,949
Interactive Brokers Group, Inc., Class A		1,858		73,056
Raymond James Financial, Inc.		49,911		2,376,263
TD Ameritrade Holding Corp.		15,872		500,444
				3,200,712
Finance-Leasing Companies — 0.0%
Air Lease Corp.		3,433		110,268
Finance-Mortgage Loan/Banker — 0.1%
CoreLogic, Inc.†		1,757		60,968
FNF Group		9,913		336,051
				397,019
Finance-Other Services — 0.8%
Intercontinental Exchange, Inc.		2,534		595,845
Nasdaq, Inc.		26,887		1,784,759
				2,380,604
Financial Guarantee Insurance — 0.0%
Assured Guaranty, Ltd.		4,996		126,399
Food-Baking — 0.1%
Flowers Foods, Inc.		24,116		445,181
Food-Canned — 0.2%
TreeHouse Foods, Inc.†		7,031		609,939
Food-Confectionery — 0.4%
J.M. Smucker Co.		10,547		1,369,422
Food-Meat Products — 0.4%
Tyson Foods, Inc., Class A		17,723		1,181,415
Food-Misc./Diversified — 2.0%
Blue Buffalo Pet Products, Inc.†		485		12,445
Campbell Soup Co.		2,529		161,325
ConAgra Foods, Inc.		47,387		2,114,408
Hain Celestial Group, Inc.†		8,079		330,512
Ingredion, Inc.		9,525		1,017,175
Kellogg Co.		11,455		876,880
McCormick & Co., Inc.		4,956		493,023
Pinnacle Foods, Inc.		28,794		1,286,516
				6,292,284
Food-Retail — 0.3%
Safeway Casa Ley CVR†(1)(2)		7,948		8,066
Safeway PDC LLC CVR†(1)(2)		7,948		388
Whole Foods Market, Inc.		26,506		824,602
				833,056
Food-Wholesale/Distribution — 0.2%
Sysco Corp.		14,440		674,781
Gambling (Non-Hotel) — 0.0%
International Game Technology PLC		1,088		19,856
Garden Products — 0.0%
Scotts Miracle-Gro Co., Class A		162		11,789
Gas-Distribution — 1.8%
AGL Resources, Inc.		4,239		276,129
Atmos Energy Corp.		11,982		889,783
CenterPoint Energy, Inc.		15,207		318,130

204

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Gas-Distribution (continued)
National Fuel Gas Co.		2,984	$	149,349
NiSource, Inc.		35,223		829,854
Questar Corp.		6,211		154,033
Sempra Energy		26,134		2,719,243
UGI Corp.		6,097		245,648
Vectren Corp.		2,921		147,686
				5,729,855
Gold Mining — 0.2%
Newmont Mining Corp.		18,611		494,680
Royal Gold, Inc.		2,169		111,248
				605,928
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc.†		671		33,107
Home Decoration Products — 0.5%
Newell Rubbermaid, Inc.		32,912		1,457,672
Hotels/Motels — 0.0%
Hyatt Hotels Corp., Class A†		1,203		59,536
Housewares — 0.0%
Tupperware Brands Corp.		95		5,508
Human Resources — 0.1%
ManpowerGroup, Inc.		2,602		211,855
Independent Power Producers — 0.3%
Calpine Corp.†		41,561		630,480
Dynegy, Inc.†		12,143		174,495
NRG Energy, Inc.		11,108		144,515
				949,490
Industrial Gases — 0.1%
Airgas, Inc.		1,861		263,592
Instruments-Scientific — 0.3%
PerkinElmer, Inc.		20,875		1,032,477
Insurance Brokers — 0.7%
Arthur J. Gallagher & Co.		43,177		1,920,513
Brown & Brown, Inc.		4,095		146,601
Willis Towers Watson PLC		2,013		238,863
				2,305,977
Insurance-Life/Health — 1.4%
Lincoln National Corp.		64,702		2,536,318
Principal Financial Group, Inc.		10,406		410,517
Torchmark Corp.		4,457		241,391
Unum Group		37,182		1,149,668
				4,337,894
Insurance-Multi-line — 1.8%
American Financial Group, Inc.		2,437		171,492
American National Insurance Co.		255		29,452
Assurant, Inc.		2,401		185,237
Cincinnati Financial Corp.		5,809		379,676
CNA Financial Corp.		951		30,603
Genworth Financial, Inc., Class A†		17,582		47,999
Hartford Financial Services Group, Inc.		39,999		1,843,154
Loews Corp.		11,004		421,013
Old Republic International Corp.		9,231		168,743
Voya Financial, Inc.		7,614		226,669

Security Description	Shares		Value (Note 2)
Insurance-Multi-line (continued)
XL Group PLC		52,665	$	1,938,072
				5,442,110
Insurance-Property/Casualty — 1.5%
Alleghany Corp.†		565		280,353
AmTrust Financial Services, Inc.		2,734		70,756
Arch Capital Group, Ltd.†		4,383		311,631
Hanover Insurance Group, Inc.		7,721		696,589
Markel Corp.†		442		394,074
Mercury General Corp.		956		53,058
ProAssurance Corp.		1,944		98,366
Progressive Corp.		20,739		728,768
Third Point Reinsurance, Ltd.†		28,240		321,089
White Mountains Insurance Group, Ltd.		201		161,323
WR Berkley Corp.		28,218		1,585,852
				4,701,859
Insurance-Reinsurance — 1.9%
Allied World Assurance Co. Holdings AG(3)		3,373		117,853
Aspen Insurance Holdings, Ltd.		2,178		103,890
Axis Capital Holdings, Ltd.		3,567		197,826
Endurance Specialty Holdings, Ltd.		16,596		1,084,383
Everest Re Group, Ltd.		14,586		2,879,714
Reinsurance Group of America, Inc.		2,339		225,129
RenaissanceRe Holdings, Ltd.		1,627		194,963
Validus Holdings, Ltd.		20,221		954,229
				5,757,987
Internet Content-Entertainment — 0.1%
Pandora Media, Inc.†		31,263		279,804
Internet Infrastructure Software — 0.3%
F5 Networks, Inc.†		7,791		824,677
Internet Security — 0.6%
Symantec Corp.		96,003		1,764,535
Investment Management/Advisor Services — 0.4%
Affiliated Managers Group, Inc.†		3,131		508,474
Ameriprise Financial, Inc.		1,070		100,591
Invesco, Ltd.		13,321		409,887
Legg Mason, Inc.		2,323		80,562
Waddell & Reed Financial, Inc., Class A		184		4,331
				1,103,845
Machine Tools & Related Products — 0.0%
Kennametal, Inc.		2,802		63,017
Lincoln Electric Holdings, Inc.		211		12,358
				75,375
Machinery-Construction & Mining — 0.1%
Joy Global, Inc.		10,912		175,356
Oshkosh Corp.		2,764		112,965
Terex Corp.		3,714		92,404
				380,725
Machinery-Electrical — 0.2%
Babcock & Wilcox Enterprises, Inc.†		1,514		32,400
Regal Beloit Corp.		9,506		599,733
				632,133

205

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Machinery-Farming — 0.3%
AGCO Corp.		2,681	$	133,246
Deere & Co.		9,152		704,612
				837,858
Machinery-General Industrial — 0.2%
BWX Technologies, Inc.		3,029		101,653
IDEX Corp.		242		20,057
Manitowoc Co., Inc.		4,812		20,836
Manitowoc Foodservice, Inc.†		4,812		70,929
Roper Technologies, Inc.		2,191		400,449
				613,924
Machinery-Pumps — 0.4%
Flowserve Corp.		2,538		112,713
SPX FLOW, Inc.†		8,542		214,233
Xylem, Inc.		20,557		840,781
				1,167,727
Medical Information Systems — 0.3%
Allscripts Healthcare Solutions, Inc.†		4,405		58,190
IMS Health Holdings, Inc.†		27,276		724,178
				782,368
Medical Instruments — 0.8%
Bio-Techne Corp.		771		72,875
Boston Scientific Corp.†		43,694		821,884
St. Jude Medical, Inc.		29,554		1,625,470
				2,520,229
Medical Labs & Testing Services — 1.0%
Laboratory Corp. of America Holdings†		17,284		2,024,475
Quest Diagnostics, Inc.		15,650		1,118,192
				3,142,667
Medical Products — 1.7%
Cooper Cos., Inc.		6,896		1,061,777
Hill-Rom Holdings, Inc.		162		8,149
Teleflex, Inc.		5,716		897,469
Zimmer Biomet Holdings, Inc.(2)(4)		30,112		3,210,842
				5,178,237
Medical-Biomedical/Gene — 0.2%
Alnylam Pharmaceuticals, Inc.†		477		29,941
Bio-Rad Laboratories, Inc., Class A†		730		99,806
Vertex Pharmaceuticals, Inc.†		5,451		433,300
				563,047
Medical-Drugs — 0.3%
Alkermes PLC†		903		30,873
Endo International PLC†		21,599		608,012
Mallinckrodt PLC†		2,506		153,568
Quintiles Transnational Holdings, Inc.†		148		9,635
				802,088
Medical-Generic Drugs — 1.2%
Impax Laboratories, Inc.†		10,587		338,995
Mylan NV†		23,208		1,075,691
Perrigo Co. PLC		18,488		2,365,170
				3,779,856

Security Description	Shares		Value (Note 2)
Medical-HMO — 0.2%
Centene Corp.†		9,227	$	568,086
Medical-Hospitals — 0.7%
Community Health Systems, Inc.†		21,927		405,869
LifePoint Health, Inc.†		10,930		756,902
Universal Health Services, Inc., Class B		7,814		974,562
				2,137,333
Metal Processors & Fabrication — 0.0%
Timken Co.		2,746		91,964
Metal-Aluminum — 0.1%
Alcoa, Inc.		46,068		441,331
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		39,967		413,259
Miscellaneous Manufacturing — 0.1%
AptarGroup, Inc.		1,803		141,373
Motion Pictures & Services — 0.0%
Dolby Laboratories, Inc., Class A		1,760		76,490
Motorcycle/Motor Scooter — 0.3%
Harley-Davidson, Inc.		15,147		777,496
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		1,637		62,615
Multimedia — 0.2%
Quebecor, Inc., Class B		18,651		489,701
Non-Hazardous Waste Disposal — 0.2%
Republic Services, Inc.		8,570		408,361
Waste Connections, Inc.		4,378		282,775
				691,136
Office Automation & Equipment — 0.5%
Pitney Bowes, Inc.		4,370		94,130
Xerox Corp.		125,338		1,398,772
				1,492,902
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		225		16,225
Oil & Gas Drilling — 0.2%
Diamond Offshore Drilling, Inc.		2,269		49,305
Ensco PLC, Class A		8,281		85,874
Helmerich & Payne, Inc.		3,408		200,118
Nabors Industries, Ltd.		11,677		107,429
Noble Corp. PLC		8,552		88,513
Patterson-UTI Energy, Inc.		5,190		91,448
Rowan Cos. PLC, Class A		4,410		71,001
Seadrill, Ltd.†		13,208		43,586
				737,274
Oil Companies-Exploration & Production — 5.0%
Anadarko Petroleum Corp.		22,099		1,029,150
Antero Resources Corp.†		2,464		61,280
Cabot Oil & Gas Corp.		53,710		1,219,754
California Resources Corp.		11,115		11,448
Chesapeake Energy Corp.		20,736		85,432
Cimarex Energy Co.		17,486		1,700,863
Cobalt International Energy, Inc.†		12,962		38,497
Concho Resources, Inc.†		4,543		459,025

206

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Companies-Exploration & Production (continued)
Continental Resources, Inc.†		2,033	$	61,722
Denbury Resources, Inc.		12,616		28,008
Diamondback Energy, Inc.†		2,342		180,756
Energen Corp.		17,589		643,582
EP Energy Corp., Class A†		1,202		5,433
EQT Corp.		16,844		1,132,927
Gulfport Energy Corp.†		41,792		1,184,385
Hess Corp.		28,430		1,496,840
Kosmos Energy, Ltd.†		5,573		32,435
Laredo Petroleum, Inc.†		4,352		34,511
Newfield Exploration Co.†		38,870		1,292,428
Noble Energy, Inc.		25,362		796,620
PDC Energy, Inc.†		10,461		621,906
Pioneer Natural Resources Co.		20,204		2,843,511
QEP Resources, Inc.		6,245		88,117
Range Resources Corp.		5,581		180,713
Rice Energy, Inc.†		2,577		35,975
SM Energy Co.		2,384		44,676
Southwestern Energy Co.†		13,593		109,696
Whiting Petroleum Corp.†		7,215		57,576
WPX Energy, Inc.†		8,258		57,723
				15,534,989
Oil Companies-Integrated — 0.1%
Marathon Oil Corp.		23,858		265,778
Murphy Oil Corp.		6,290		158,445
				424,223
Oil Field Machinery & Equipment — 0.5%
Cameron International Corp.†		6,766		453,660
Dril-Quip, Inc.†		1,377		83,391
FMC Technologies, Inc.†		2,848		77,921
Forum Energy Technologies, Inc.†		28,482		375,963
National Oilwell Varco, Inc.		13,710		426,381
				1,417,316
Oil Refining & Marketing — 0.9%
Cheniere Energy, Inc.†		23,693		801,534
CVR Energy, Inc.		361		9,422
HollyFrontier Corp.		26,392		932,166
Murphy USA, Inc.†		1,502		92,298
PBF Energy, Inc., Class A		3,402		112,946
Tesoro Corp.		11,304		972,257
				2,920,623
Oil-Field Services — 0.6%
Frank's International NV		29,699		489,440
NOW, Inc.†		3,788		67,123
Oceaneering International, Inc.		2,879		95,698
Oil States International, Inc.†		13,549		427,064
RPC, Inc.		1,777		25,198
Superior Energy Services, Inc.		5,318		71,208
Targa Resources Corp.		1,014		30,278
Weatherford International PLC†		86,645		674,098
				1,880,107

Security Description	Shares		Value (Note 2)
Optical Recognition Equipment — 0.0%
Lumentum Holdings, Inc.†		1,655	$	44,635
Paper & Related Products — 0.0%
Domtar Corp.		2,252		91,206
International Paper Co.		743		30,493
				121,699
Physicians Practice Management — 0.2%
MEDNAX, Inc.†		10,221		660,481
Pipelines — 0.3%
Columbia Pipeline Group, Inc.		27,934		701,143
ONEOK, Inc.		4,059		121,202
				822,345
Poultry — 0.0%
Pilgrim's Pride Corp.†		2,013		51,130
Power Converter/Supply Equipment — 0.2%
Hubbell, Inc.		6,713		711,108
SunPower Corp.†		1,788		39,944
				751,052
Precious Metals — 0.0%
Tahoe Resources, Inc.		4,942		49,568
Printing-Commercial — 0.0%
RR Donnelley & Sons Co.		3,502		57,433
Private Equity — 0.1%
Apollo Global Management LLC, Class A		17,992		308,023
Publishing-Books — 0.2%
Houghton Mifflin Harcourt Co.†		23,100		460,614
John Wiley & Sons, Inc., Class A		1,636		79,984
				540,598
Publishing-Newspapers — 0.1%
Gannett Co., Inc.		4,009		60,696
News Corp., Class A		13,558		173,136
News Corp., Class B		4,273		56,617
				290,449
Real Estate Investment Trusts — 11.1%
Alexandria Real Estate Equities, Inc.		2,546		231,406
American Campus Communities, Inc.		3,969		186,900
American Capital Agency Corp.		12,470		232,316
American Homes 4 Rent, Class A		5,856		93,110
Annaly Capital Management, Inc.		62,610		642,379
Apartment Investment & Management Co., Class A		5,524		231,014
Apple Hospitality REIT, Inc.		6,171		122,248
AvalonBay Communities, Inc.		4,672		888,614
Boston Properties, Inc.		471		59,855
Brandywine Realty Trust		6,358		89,203
Brixmor Property Group, Inc.		69,770		1,787,507
Camden Property Trust		3,070		258,156
Care Capital Properties, Inc.		2,923		78,453
CBL & Associates Properties, Inc.		5,902		70,234
Chimera Investment Corp.		6,684		90,836
Columbia Property Trust, Inc.		3,882		85,365
Communications Sales & Leasing, Inc.†		4,264		94,874
Corporate Office Properties Trust		42,847		1,124,305

207

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Corrections Corp. of America		4,136	$	132,559
DDR Corp.		147,149		2,617,781
Digital Realty Trust, Inc.		2,206		195,209
Douglas Emmett, Inc.		5,156		155,247
Duke Realty Corp.		12,196		274,898
Empire State Realty Trust, Inc., Class A		2,083		36,515
EPR Properties		12,613		840,278
Equity Commonwealth†		4,585		129,389
Equity LifeStyle Properties, Inc.		8,797		639,806
Essex Property Trust, Inc.		2,310		540,217
Federal Realty Investment Trust		6,500		1,014,325
Forest City Realty Trust, Inc., Class A		7,720		162,815
Four Corners Property Trust, Inc.		1,622		29,115
Gaming and Leisure Properties, Inc.		2,694		83,299
General Growth Properties, Inc.		20,397		606,403
HCP, Inc.		16,319		531,673
Healthcare Trust of America, Inc., Class A		3,991		117,415
Hospitality Properties Trust		5,300		140,768
Host Hotels & Resorts, Inc.		26,782		447,259
Iron Mountain, Inc.		4,524		153,409
Kilroy Realty Corp.		3,112		192,539
Kimco Realty Corp.		14,589		419,871
Liberty Property Trust		5,283		176,769
Macerich Co.		5,594		443,269
Medical Properties Trust, Inc.		78,333		1,016,762
MFA Financial, Inc.		66,820		457,717
Mid-America Apartment Communities, Inc.		21,206		2,167,465
National Retail Properties, Inc.		4,736		218,803
NorthStar Realty Europe Corp.		2,043		23,699
NorthStar Realty Finance Corp.		6,416		84,178
Omega Healthcare Investors, Inc.		4,701		165,945
Outfront Media, Inc.		4,857		102,483
Paramount Group, Inc.		6,313		100,692
Piedmont Office Realty Trust, Inc., Class A		5,157		104,739
Post Properties, Inc.		1,279		76,408
Prologis, Inc.		18,524		818,390
Rayonier, Inc.		4,485		110,690
Realty Income Corp.		8,777		548,650
Regency Centers Corp.		3,334		249,550
Retail Properties of America, Inc., Class A		8,384		132,886
RLJ Lodging Trust		52,360		1,197,997
Senior Housing Properties Trust		8,307		148,612
SL Green Realty Corp.		3,520		341,018
Spirit Realty Capital, Inc.		15,604		175,545
Starwood Property Trust, Inc.		79,317		1,501,471
Taubman Centers, Inc.		1,374		97,870
Two Harbors Investment Corp.		12,958		102,887
UDR, Inc.		9,154		352,704
Ventas, Inc.		44,296		2,788,876
VEREIT, Inc.		31,997		283,813
Vornado Realty Trust		29,019		2,740,264
Weingarten Realty Investors		4,379		164,300

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Welltower, Inc.		6,804	$	471,789
Weyerhaeuser Co.		39,379		1,219,961
WP Carey, Inc.		3,688		229,541
WP GLIMCHER, Inc.		6,549		62,150
				34,705,458
Real Estate Management/Services — 0.3%
Jones Lang LaSalle, Inc.		431		50,565
Realogy Holdings Corp.†		21,285		768,601
				819,166
Real Estate Operations & Development — 0.0%
Howard Hughes Corp.†		836		88,524
Recreational Vehicles — 0.0%
Brunswick Corp.		861		41,311
Rental Auto/Equipment — 0.0%
Aaron's, Inc.		1,951		48,970
Retail-Apparel/Shoe — 1.1%
Coach, Inc.		8,399		336,716
DSW, Inc., Class A		2,437		67,359
Foot Locker, Inc.		667		43,021
Gap, Inc.		42,078		1,237,093
PVH Corp.		11,233		1,112,741
Urban Outfitters, Inc.†		14,446		478,018
				3,274,948
Retail-Auto Parts — 0.2%
AutoZone, Inc.†		932		742,515
Retail-Automobile — 0.0%
Penske Automotive Group, Inc.		940		35,626
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		9,588		242,097
MSC Industrial Direct Co., Inc., Class A		1,165		88,901
				330,998
Retail-Computer Equipment — 0.0%
GameStop Corp., Class A		3,787		120,162
Retail-Consumer Electronics — 0.1%
Best Buy Co., Inc.		10,728		348,016
Retail-Drug Store — 0.0%
Rite Aid Corp.†		14,191		115,657
Retail-Jewelry — 0.0%
Tiffany & Co.		982		72,059
Retail-Mail Order — 0.2%
Williams-Sonoma, Inc.		13,286		727,276
Retail-Major Department Stores — 0.0%
J.C. Penney Co., Inc.†		10,785		119,282
Sears Holdings Corp.†		419		6,415
				125,697
Retail-Misc./Diversified — 0.5%
CST Brands, Inc.		475		18,188
Sally Beauty Holdings, Inc.†		47,759		1,546,436
				1,564,624

208

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Office Supplies — 0.2%
Office Depot, Inc.†		15,925	$	113,068
Staples, Inc.		48,314		532,903
				645,971
Retail-Petroleum Products — 0.0%
World Fuel Services Corp.		2,089		101,484
Retail-Regional Department Stores — 0.3%
Dillard's, Inc., Class A		662		56,211
Kohl's Corp.		17,079		796,052
Macy's, Inc.		3,101		136,723
				988,986
Retail-Restaurants — 0.3%
Darden Restaurants, Inc.		3,562		236,160
DineEquity, Inc.		4,823		450,613
Wendy's Co.		7,176		78,147
				764,920
Retail-Sporting Goods — 0.1%
Cabela's, Inc.†		1,615		78,635
Dick's Sporting Goods, Inc.		1,011		47,264
Vista Outdoor, Inc.†		1,964		101,951
				227,850
Retirement/Aged Care — 0.0%
Brookdale Senior Living, Inc.†		5,103		81,036
Rubber-Tires — 0.1%
Goodyear Tire & Rubber Co.		9,540		314,629
Satellite Telecom — 0.0%
EchoStar Corp., Class A†		1,558		69,004
Savings & Loans/Thrifts — 0.4%
First Niagara Financial Group, Inc.		12,550		121,484
New York Community Bancorp, Inc.		53,845		856,136
People's United Financial, Inc.		10,926		174,051
TFS Financial Corp.		2,332		40,507
				1,192,178
Schools — 0.0%
Graham Holdings Co., Class B		123		59,040
Security Services — 0.1%
ADT Corp.		6,055		249,829
Semiconductor Components-Integrated Circuits — 1.3%
Analog Devices, Inc.		25,552		1,512,423
Cypress Semiconductor Corp.		11,732		101,599
Marvell Technology Group, Ltd.		16,013		165,094
Maxim Integrated Products, Inc.		61,871		2,275,615
				4,054,731
Semiconductor Equipment — 0.2%
Applied Materials, Inc.		16,577		351,101
Lam Research Corp.		1,600		132,160
Teradyne, Inc.		7,583		163,717
				646,978
Steel Pipe & Tube — 0.0%
Valmont Industries, Inc.		787		97,462

Security Description	Shares		Value (Note 2)
Steel-Producers — 0.6%
Nucor Corp.		32,629	$	1,543,352
Reliance Steel & Aluminum Co.		2,625		181,624
Steel Dynamics, Inc.		7,598		171,031
United States Steel Corp.		5,149		82,641
				1,978,648
Steel-Specialty — 0.0%
Allegheny Technologies, Inc.		3,860		62,918
Telecom Equipment-Fiber Optics — 0.2%
Viavi Solutions, Inc.†		103,753		711,746
Telecom Services — 0.2%
Level 3 Communications, Inc.†		9,007		476,020
Telecommunication Equipment — 0.3%
ARRIS International PLC†		4,004		91,772
CommScope Holding Co., Inc.†		2,072		57,850
Juniper Networks, Inc.		11,486		293,008
Nice Systems, Ltd. ADR		7,854		508,860
				951,490
Telephone-Integrated — 0.5%
CenturyLink, Inc.		19,927		636,867
Frontier Communications Corp.		148,645		830,926
Telephone & Data Systems, Inc.		3,322		99,959
Zayo Group Holdings, Inc.†		684		16,580
				1,584,332
Television — 0.5%
Liberty Media Corp., Class A†		3,695		142,738
Liberty Media Corp., Class C†		27,187		1,035,553
TEGNA, Inc.		8,018		188,102
Tribune Media Co., Class A		2,850		109,297
				1,475,690
Textile-Home Furnishings — 0.2%
Mohawk Industries, Inc.†		3,786		722,747
Tools-Hand Held — 0.7%
Stanley Black & Decker, Inc.		22,045		2,319,354
Toys — 0.2%
Hasbro, Inc.		740		59,274
Mattel, Inc.		11,959		402,062
				461,336
Transactional Software — 0.0%
Black Knight Financial Services, Inc., Class A†		90		2,793
Transport-Equipment & Leasing — 0.0%
AMERCO		134		47,880
GATX Corp.		1,552		73,720
				121,600
Transport-Marine — 0.1%
Golar LNG, Ltd.		3,178		57,108
Kirby Corp.†		1,972		118,892
Teekay Corp.		1,009		8,738
				184,738

209

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares/ Principal Amount			Value (Note 2)
COMMON STOCKS (continued)
Transport-Rail — 0.3%
Genesee & Wyoming, Inc., Class A†		1,222		$	76,619
Kansas City Southern		10,890			930,551
					1,007,170
Transport-Services — 0.0%
Ryder System, Inc.		1,884			122,046
Transport-Truck — 0.2%
Knight Transportation, Inc.		23,470			613,740
Veterinary Diagnostics — 0.0%
VCA, Inc.†		165			9,519
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		380			23,393
Water — 0.5%
American Water Works Co., Inc.		17,467			1,204,000
Aqua America, Inc.		6,258			199,130
					1,403,130
Total Common Stocks (cost $291,603,593)					306,825,572
CONVERTIBLE PREFERRED SECURITIES — 0.2%
Telephone-Integrated — 0.2%
Frontier Communications Corp. Series A 11.13% (cost $683,100)		6,831			713,157
Total Long-Term Investment Securities (cost $292,286,693)					307,538,729
SHORT-TERM INVESTMENT SECURITIES — 1.6%
Registered Investment Companies — 1.6%
SSgA U.S. Government Money Market Fund 0.00%(5) (cost $4,990,331)		4,990,331			4,990,331
REPURCHASE AGREEMENTS — 1.1%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 03/31/2016, to be repurchased 04/01/2016 in the amount of $3,010,001 and collateralized by $2,955,000 of United States Treasury Notes, bearing interest at 2.13%, due 09/30/2021 and having an approximate value of $3,070,431	$	3,010,000			3,010,000
State Street Bank and Trust Co. Joint Repurchase Agreement(6)		264,000			264,000
Total Repurchase Agreements (cost $3,274,000)					3,274,000
TOTAL INVESTMENTS (cost $300,551,024)(7)		101.2	%		315,803,060
Liabilities in excess of other assets		(1.2	)		(3,807,137	)
NET ASSETS		100.0	%	$	311,995,923

†  Non-income producing security

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Illiquid security. At March 31, 2016, the aggregate value of these securities was $3,219,296 representing 1.0% of net assets.

(3)  Security represents an investment in an affiliated company; see Note 8

(4)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2016, the Mid Cap Value Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
Zimmer Biomet Holdings, Inc.	05/02/2014		242	$	23,684
	05/05/2014		841		82,455
	05/05/2014		327		31,859
	05/06/2014		764		76,449
	05/06/2014		3,852		385,169
	05/06/2014		30		2,972
	05/06/2014		1,124		112,996
	05/12/2014		273		27,505
	05/12/2014		545		55,065
	05/13/2014		389		39,387
	05/14/2014		393		39,823
	05/15/2014		779		78,361
	06/13/2014		103		10,896
	07/22/2014		176		18,065
	08/12/2014		172		16,593
	10/15/2014		3,256		314,904
	12/15/2014		165		18,275
	02/25/2015		214		25,863
	04/23/2015		1,063		126,051
			14,708		1,486,372	$	1,568,314	$	106.63		0.50	%

(5)  The rate shown is the 7-day yield as of March 31, 2016.

(6)  See Note 2 for details of Joint Repurchase Agreement.

(7)  See Note 4 for cost of investments on a tax basis.

ADR — American Depositary Receipt

CVR — Contingent Value Rights

210

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	4	Long	S&P Midcap 400 E-Mini Index	June 2016	$	558,827	$	576,480	$	17,653

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Food-Retail	$	824,602	$	—	$	8,454	$	833,056
Other Industries		305,992,516		—		—		305,992,516
Convertible Preferred Securities		713,157		—		—		713,157
Short-Term Investment Securities		4,990,331		—		—		4,990,331
Repurchase Agreements		—		3,274,000		—		3,274,000
Total Investments at Value	$	312,520,606	$	3,274,000	$	8,454	$	315,803,060
Other Financial Instruments:+
Futures Contracts	$	17,653	$	—	$	—	$	17,653

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

211

Seasons Series Trust Small Cap Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Banks-Commercial	8.5	%
Real Estate Investment Trusts	5.3
Insurance-Property/Casualty	4.7
Aerospace/Defense-Equipment	2.8
Computer Services	2.4
Electronic Components-Misc.	1.7
Enterprise Software/Service	1.5
Retail-Automobile	1.5
Retail-Restaurants	1.5
Chemicals-Specialty	1.4
Building & Construction Products-Misc.	1.4
Medical-Biomedical/Gene	1.4
Savings & Loans/Thrifts	1.4
Human Resources	1.4
Electronic Components-Semiconductors	1.3
Diversified Manufacturing Operations	1.3
Retail-Apparel/Shoe	1.3
Gas-Distribution	1.2
Auto/Truck Parts & Equipment-Replacement	1.2
Finance-Consumer Loans	1.2
Exchange-Traded Funds	1.2
Finance-Auto Loans	1.2
Commercial Services-Finance	1.2
Research & Development	1.1
Veterinary Diagnostics	1.1
Medical-Drugs	1.1
Auto Repair Centers	1.1
Food-Misc./Diversified	1.0
Electric-Integrated	1.0
Batteries/Battery Systems	1.0
Retail-Discount	0.8
Medical Instruments	0.8
Storage/Warehousing	0.8
Consumer Products-Misc.	0.8
Real Estate Management/Services	0.8
Paper & Related Products	0.8
Semiconductor Equipment	0.8
Medical Products	0.7
Engineering/R&D Services	0.7
Finance-Investment Banker/Broker	0.7
Professional Sports	0.7
Auto/Truck Parts & Equipment-Original	0.7
Airlines	0.7
Entertainment Software	0.7
Wireless Equipment	0.7
Networking Products	0.7
Time Deposits	0.7
Registered Investment Companies	0.6
Retail-Petroleum Products	0.6
Transport-Truck	0.6
Oil Companies-Exploration & Production	0.6
Data Processing/Management	0.6
Machinery-General Industrial	0.6
Distribution/Wholesale	0.5
Oil-Field Services	0.5
Diversified Operations/Commercial Services	0.5
Transport-Services	0.5
Food-Canned	0.5
Medical-HMO	0.5
MRI/Medical Diagnostic Imaging	0.5

Brewery	0.5	%
Energy-Alternate Sources	0.5
Retail-Video Rentals	0.4
Medical-Outpatient/Home Medical	0.4
Insurance-Life/Health	0.4
Rubber-Tires	0.4
Health Care Cost Containment	0.4
Real Estate Operations & Development	0.4
Schools	0.4
Computer Aided Design	0.4
Semiconductor Components-Integrated Circuits	0.4
Telecom Services	0.4
Water	0.4
Telephone-Integrated	0.4
Containers-Paper/Plastic	0.3
Broadcast Services/Program	0.3
Commercial Services	0.3
Lasers-System/Components	0.3
Therapeutics	0.3
Home Furnishings	0.3
Finance-Other Services	0.3
Retail-Hair Salons	0.3
Electronic Parts Distribution	0.3
Poultry	0.3
Building & Construction-Misc.	0.3
Gambling (Non-Hotel)	0.3
Office Supplies & Forms	0.3
Printing-Commercial	0.3
Internet Content-Information/News	0.3
Respiratory Products	0.3
Transport-Rail	0.3
Footwear & Related Apparel	0.3
Medical-Wholesale Drug Distribution	0.3
Power Converter/Supply Equipment	0.3
Telecommunication Equipment	0.3
Engines-Internal Combustion	0.3
Computers-Integrated Systems	0.3
Chemicals-Diversified	0.3
Applications Software	0.3
Repurchase Agreements	0.2
Transactional Software	0.2
Drug Delivery Systems	0.2
Satellite Telecom	0.2
Television	0.2
Building Products-Cement	0.2
Diagnostic Kits	0.2
Steel-Producers	0.2
Internet Security	0.2
Electronic Measurement Instruments	0.2
Web Hosting/Design	0.2
Insurance-Multi-line	0.2
Miscellaneous Manufacturing	0.2
Retail-Pawn Shops	0.2
Medical Information Systems	0.2
Publishing-Books	0.2
Internet Application Software	0.2
Linen Supply & Related Items	0.2
Medical-Generic Drugs	0.2
Disposable Medical Products	0.2
Computer Software	0.2

212

Seasons Series Trust Small Cap Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Apparel Manufacturers	0.2	%
Metal Processors & Fabrication	0.2
Telecom Equipment-Fiber Optics	0.2
Electric Products-Misc.	0.1
Investment Management/Advisor Services	0.1
Tobacco	0.1
Medical-Hospitals	0.1
Independent Power Producers	0.1
Transport-Air Freight	0.1
Building Products-Wood	0.1
Hotels/Motels	0.1
Building Products-Doors & Windows	0.1
Rubber/Plastic Products	0.1
Retail-Misc./Diversified	0.1
Building-Residential/Commercial	0.1
Casino Hotels	0.1
Chemicals-Fibers	0.1
Banks-Mortgage	0.1
Food-Dairy Products	0.1
Medical-Nursing Homes	0.1
Electronic Design Automation	0.1
Security Services	0.1
Computers-Periphery Equipment	0.1
Food-Wholesale/Distribution	0.1
Food-Retail	0.1
Metal-Aluminum	0.1
Patient Monitoring Equipment	0.1
Aerospace/Defense	0.1
Instruments-Controls	0.1
Building-Maintenance & Services	0.1
Office Furnishings-Original	0.1
Audio/Video Products	0.1
Publishing-Newspapers	0.1
Environmental Consulting & Engineering	0.1
Retail-Jewelry	0.1
Housewares	0.1
Funeral Services & Related Items	0.1
Resorts/Theme Parks	0.1
Identification Systems	0.1
Machinery-Construction & Mining	0.1
Internet Connectivity Services	0.1
Retail-Vitamins & Nutrition Supplements	0.1
E-Commerce/Services	0.1
Diagnostic Equipment	0.1
Protection/Safety	0.1
Athletic Equipment	0.1
Consulting Services	0.1
Retail-Sporting Goods	0.1
Diversified Minerals	0.1
Electric-Generation	0.1
Wire & Cable Products	0.1
Financial Guarantee Insurance	0.1
Oil Refining & Marketing	0.1
Firearms & Ammunition	0.1
Platinum	0.1
Building-Heavy Construction	0.1
Optical Recognition Equipment	0.1
Electronic Security Devices	0.1
Machinery-Electrical	0.1
Oil Field Machinery & Equipment	0.1

Retail-Bookstores	0.1	%
Building Products-Air & Heating	0.1
Machinery-Pumps	0.1
Appliances	0.1
Medical Laser Systems	0.1
Medical Imaging Systems	0.1
Pharmacy Services	0.1
Hazardous Waste Disposal	0.1
Computer Graphics	0.1
Banks-Fiduciary	0.1
Retail-Regional Department Stores	0.1
	100.0	%

*  Calculated as a percentage of net assets

213

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.3%
Advertising Services — 0.0%
Marchex, Inc., Class B		24,300	$	108,135
Sizmek, Inc.†		3,302		9,576
				117,711
Aerospace/Defense — 0.1%
Aerovironment, Inc.†		3,460		97,987
Cubic Corp.		3,684		147,213
National Presto Industries, Inc.		818		68,499
				313,699
Aerospace/Defense-Equipment — 2.8%
AAR Corp.		39,958		929,823
Aerojet Rocketdyne Holdings, Inc.†		10,859		177,870
Astronics Corp.†		65,769		2,509,087
B/E Aerospace, Inc.		22,652		1,044,710
HEICO Corp.		37,419		2,250,005
Kaman Corp.		4,555		194,453
KLX, Inc.†		33,814		1,086,782
Moog, Inc., Class A†		10,726		489,964
				8,682,694
Agricultural Chemicals — 0.0%
Intrepid Potash, Inc.†		13,702		15,209
Agricultural Operations — 0.0%
Andersons, Inc.		4,431		139,178
Airlines — 0.7%
Alaska Air Group, Inc.		10,800		885,816
Allegiant Travel Co.		2,210		393,512
Hawaiian Holdings, Inc.†		15,014		708,511
SkyWest, Inc.		8,621		172,334
				2,160,173
Apparel Manufacturers — 0.2%
G-III Apparel Group, Ltd.†		6,757		330,350
Oxford Industries, Inc.		2,460		165,386
				495,736
Appliances — 0.1%
iRobot Corp.†		4,889		172,582
Applications Software — 0.3%
Ebix, Inc.		4,334		176,784
Epiq Systems, Inc.		5,463		82,054
MINDBODY, Inc., Class A†		14,900		198,617
Progress Software Corp.†		11,284		272,170
Tangoe, Inc.†		6,316		49,833
				779,458
Athletic Equipment — 0.1%
Nautilus, Inc.†		12,500		241,500
Audio/Video Products — 0.1%
Daktronics, Inc.		6,526		51,555
DTS, Inc.†		2,949		64,229
Universal Electronics, Inc.†		2,445		151,566
VOXX International Corp.†		7,260		32,452
				299,802
Auto Repair Centers — 1.1%
Monro Muffler Brake, Inc.		47,395		3,387,321

Security Description	Shares		Value (Note 2)
Auto/Truck Parts & Equipment-Original — 0.7%
American Axle & Manufacturing Holdings, Inc.†		78,906	$	1,214,363
Dana Holding Corp.		20,500		288,845
Gentherm, Inc.†		6,125		254,739
Superior Industries International, Inc.		3,901		86,134
Titan International, Inc.		7,369		39,645
Tower International, Inc.		11,300		307,360
				2,191,086
Auto/Truck Parts & Equipment-Replacement — 1.2%
Dorman Products, Inc.†		54,637		2,973,346
Douglas Dynamics, Inc.		27,600		632,316
Motorcar Parts of America, Inc.†		3,090		117,358
Standard Motor Products, Inc.		3,320		115,038
				3,838,058
B2B/E-Commerce — 0.0%
ePlus, Inc.†		984		79,222
Banks-Commercial — 8.5%
1st Source Corp.		4,640		147,738
Ameris Bancorp		4,687		138,642
BancFirst Corp.		6,700		382,101
BancorpSouth, Inc.		17,800		379,318
Bank of the Ozarks, Inc.		95,278		3,998,818
Banner Corp.		7,631		320,807
BBCN Bancorp, Inc.		19,316		293,410
Capital Bank Financial Corp., Class A		18,300		564,555
Cardinal Financial Corp.		5,459		111,091
Cathay General Bancorp, Class B		7,000		198,310
Central Pacific Financial Corp.		32,782		713,664
Chemical Financial Corp.		2,800		99,932
Citizens & Northern Corp.		1,900		37,772
City Holding Co.		6,926		330,924
CoBiz Financial, Inc.		4,800		56,736
Columbia Banking System, Inc.		9,737		291,331
Community Bank System, Inc.		7,398		282,678
CVB Financial Corp.		46,781		816,328
Eagle Bancorp, Inc.†		74,912		3,595,776
East West Bancorp, Inc.		355		11,530
FCB Financial Holdings, Inc.†		9,300		309,318
First BanCorp†		19,585		57,188
First Commonwealth Financial Corp.		52,000		460,720
First Financial Bancorp		11,094		201,689
First Financial Bankshares, Inc. Class A		11,133		329,314
First Interstate BancSystem, Inc. Class A		2,200		61,886
First Midwest Bancorp, Inc.		13,207		237,990
First NBC Bank Holding Co.†		2,670		54,975
FNB Corp.		11,000		143,110
Fulton Financial Corp.		7,600		101,688
Glacier Bancorp, Inc.		12,829		326,113
Great Western Bancorp, Inc.		4,900		133,623
Guaranty Bancorp		3,000		46,380
Hanmi Financial Corp.		5,422		119,392
Home BancShares, Inc.		43,447		1,779,155
Independent Bank Corp.		4,434		203,787
LegacyTexas Financial Group, Inc.		97,007		1,906,188

214

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
MainSource Financial Group, Inc.		2,400	$	50,616
MB Financial, Inc.		11,585		375,933
National Penn Bancshares, Inc.		28,657		304,911
NBT Bancorp, Inc.		7,272		195,980
OFG Bancorp		26,797		187,311
Old National Bancorp		19,275		234,962
PacWest Bancorp		4,800		178,320
Pinnacle Financial Partners, Inc.		5,952		292,005
S&T Bancorp, Inc.		5,870		151,211
Sierra Bancorp		2,000		36,300
Simmons First National Corp., Class A		7,713		347,625
Southside Bancshares, Inc.		5,251		136,894
Southwest Bancorp, Inc.		3,600		54,180
Suffolk Bancorp		9,402		237,307
Talmer Bancorp, Inc., Class A		10,702		193,599
TCF Financial Corp.		18,000		220,680
Texas Capital Bancshares, Inc.†		7,737		296,946
Tompkins Financial Corp.		2,071		132,544
TrustCo Bank Corp.		16,081		97,451
UMB Financial Corp.		9,799		505,922
Union Bankshares Corp.		25,163		619,765
United Bankshares, Inc.		10,919		400,727
United Community Banks, Inc.		10,272		189,724
Webster Financial Corp.		1,700		61,030
West Bancorporation, Inc.		6,800		123,964
Westamerica Bancorporation		25,105		1,222,865
Wilshire Bancorp, Inc.		25,034		257,850
Wintrust Financial Corp.		8,166		362,080
				26,712,679
Banks-Fiduciary — 0.1%
Boston Private Financial Holdings, Inc.		14,077		161,182
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.†		15,288		371,040
Batteries/Battery Systems — 1.0%
EnerSys		53,711		2,992,777
Brewery — 0.5%
Boston Beer Co., Inc., Class A†		7,685		1,422,263
Broadcast Services/Program — 0.3%
MSG Networks, Inc., Class A†		40,197		695,006
Nexstar Broadcasting Group, Inc., Class A		6,200		274,474
World Wrestling Entertainment, Inc., Class A		5,776		102,004
				1,071,484
Building & Construction Products-Misc. — 1.4%
Drew Industries, Inc.		43,538		2,806,460
Gibraltar Industries, Inc.†		15,313		437,952
Patrick Industries, Inc.†		13,001		590,115
Quanex Building Products Corp.		5,770		100,167
Simpson Manufacturing Co., Inc.		6,922		264,213
Trex Co., Inc.†		5,211		249,763
				4,448,670

Security Description	Shares		Value (Note 2)
Building & Construction-Misc. — 0.3%
Aegion Corp.†		5,962	$	125,739
Comfort Systems USA, Inc.		6,311		200,500
Dycom Industries, Inc.†		5,547		358,725
MYR Group, Inc.†		3,277		82,285
TopBuild Corp.†		6,381		189,771
				957,020
Building Products-Air & Heating — 0.1%
AAON, Inc.		6,709		187,852
Building Products-Cement — 0.2%
Continental Building Products, Inc.†		16,900		313,664
Headwaters, Inc.†		12,482		247,643
US Concrete, Inc.†		2,331		138,881
				700,188
Building Products-Doors & Windows — 0.1%
Apogee Enterprises, Inc.		4,870		213,744
Griffon Corp.		6,405		98,957
PGT, Inc.†		8,204		80,728
				393,429
Building Products-Wood — 0.1%
Boise Cascade Co.†		6,539		135,488
Universal Forest Products, Inc.		3,396		291,445
				426,933
Building-Heavy Construction — 0.1%
MasTec, Inc.†		9,500		192,280
Orion Marine Group, Inc.†		4,600		23,828
				216,108
Building-Maintenance & Services — 0.1%
ABM Industries, Inc.		9,432		304,748
Building-Mobile Home/Manufactured Housing — 0.0%
Winnebago Industries, Inc.		4,549		102,125
Building-Residential/Commercial — 0.1%
Installed Building Products, Inc.†		2,803		74,588
M/I Homes, Inc.†		4,157		77,528
Meritage Homes Corp.†		6,239		227,474
				379,590
Casino Hotels — 0.1%
Boyd Gaming Corp.†		16,667		344,340
Monarch Casino & Resort, Inc.†		1,804		35,106
				379,446
Casino Services — 0.0%
Scientific Games Corp., Class A†		8,462		79,797
Chemicals-Diversified — 0.3%
Aceto Corp.		4,983		117,400
Innophos Holdings, Inc.		10,053		310,738
Innospec, Inc.		4,048		175,521
Koppers Holdings, Inc.†		3,466		77,881
Olin Corp.		6,200		107,694
				789,234
Chemicals-Fibers — 0.1%
Rayonier Advanced Materials, Inc.		39,229		372,675

215

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Other — 0.0%
American Vanguard Corp.		4,335	$	68,406
Chemicals-Plastics — 0.0%
A. Schulman, Inc.		4,940		134,467
Chemicals-Specialty — 1.4%
Balchem Corp.		43,113		2,673,868
Calgon Carbon Corp.		8,517		119,408
Chemours Co.		30,583		214,081
H.B. Fuller Co.		8,429		357,811
Hawkins, Inc.		1,603		57,852
Kraton Performance Polymers, Inc.†		5,165		89,355
Minerals Technologies, Inc.		9,000		511,650
OMNOVA Solutions, Inc.†		21,000		116,760
Quaker Chemical Corp.		2,227		188,983
Stepan Co.		3,081		170,349
				4,500,117
Circuit Boards — 0.0%
Park Electrochemical Corp.		3,415		54,674
TTM Technologies, Inc.†		10,898		72,472
				127,146
Coal — 0.0%
Cloud Peak Energy, Inc.†		10,314		20,112
SunCoke Energy, Inc.		10,993		71,455
				91,567
Commercial Services — 0.3%
Healthcare Services Group, Inc.		12,170		447,978
HMS Holdings Corp.†		29,565		424,258
Medifast, Inc.		2,666		80,486
Nutrisystem, Inc.		4,960		103,515
				1,056,237
Commercial Services-Finance — 1.2%
Cardtronics, Inc.†		7,620		274,244
EVERTEC, Inc.		2,800		39,144
Green Dot Corp., Class A†		7,605		174,687
Heartland Payment Systems, Inc.		10,538		1,017,655
LendingTree, Inc.†		1,161		113,522
Vantiv, Inc., Class A†		3,900		210,132
WEX, Inc.†		21,642		1,804,077
				3,633,461
Communications Software — 0.0%
Digi International, Inc.†		4,351		41,030
Computer Aided Design — 0.4%
Aspen Technology, Inc.†		32,600		1,177,838
Computer Data Security — 0.0%
Qualys, Inc.†		4,064		102,860
Computer Graphics — 0.1%
Monotype Imaging Holdings, Inc.		6,748		161,412
Computer Services — 2.4%
Barracuda Networks, Inc.†		10,900		167,860
CACI International, Inc., Class A†		4,089		436,296
Ciber, Inc.†		12,174		25,687
Convergys Corp.		35,400		983,058
Engility Holdings, Inc.†		2,913		54,648

Security Description	Shares		Value (Note 2)
Computer Services (continued)
ExlService Holdings, Inc.†		5,588	$	289,458
Insight Enterprises, Inc.†		10,453		299,374
LivePerson, Inc.†		8,310		48,614
Manhattan Associates, Inc.†		68,975		3,922,608
Science Applications International Corp.		9,400		501,396
Sykes Enterprises, Inc.†		6,565		198,132
TeleTech Holdings, Inc.		2,775		77,034
Unisys Corp.†		39,800		306,460
Virtusa Corp.†		4,574		171,342
				7,481,967
Computer Software — 0.2%
Blackbaud, Inc.		7,920		498,089
Computers-Integrated Systems — 0.3%
Agilysys, Inc.†		2,556		26,097
Cray, Inc.†		6,861		287,544
Mercury Systems, Inc.†		5,579		113,254
MTS Systems Corp.		2,489		151,456
Super Micro Computer, Inc.†		6,201		211,330
				789,681
Computers-Periphery Equipment — 0.1%
Electronics For Imaging, Inc.†		7,949		336,958
Consulting Services — 0.1%
Forrester Research, Inc.		1,675		56,297
Franklin Covey Co.†		3,300		58,047
Navigant Consulting, Inc.†		7,994		126,385
				240,729
Consumer Products-Misc. — 0.8%
Central Garden & Pet Co.†		1,667		27,239
Central Garden & Pet Co., Class A†		5,553		90,458
CSS Industries, Inc.		3,900		108,927
Helen of Troy, Ltd.†		16,615		1,722,809
Tumi Holdings, Inc.†		9,432		252,966
WD-40 Co.		2,258		243,887
				2,446,286
Containers-Paper/Plastic — 0.3%
Graphic Packaging Holding Co.		68,600		881,510
KapStone Paper and Packaging Corp.		14,462		200,299
				1,081,809
Cosmetics & Toiletries — 0.0%
Inter Parfums, Inc.		2,875		88,837
Data Processing/Management — 0.6%
CSG Systems International, Inc.		23,313		1,052,815
Fair Isaac Corp.		6,400		678,976
				1,731,791
Decision Support Software — 0.0%
Interactive Intelligence Group, Inc.†		2,972		108,240
Diagnostic Equipment — 0.1%
Affymetrix, Inc.†		18,884		264,565
Diagnostic Kits — 0.2%
Meridian Bioscience, Inc.		7,091		146,146
Quidel Corp.†		31,800		548,868
				695,014

216

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Direct Marketing — 0.0%
Harte-Hanks, Inc.		7,952	$	20,119
Disposable Medical Products — 0.2%
ICU Medical, Inc.†		2,446		254,629
Merit Medical Systems, Inc.†		7,464		138,009
Utah Medical Products, Inc.		1,800		112,572
				505,210
Distribution/Wholesale — 0.5%
Core-Mark Holding Co., Inc.		3,902		318,247
Essendant, Inc.		32,087		1,024,538
ScanSource, Inc.†		4,420		178,479
Titan Machinery, Inc.†		12,400		143,344
Veritiv Corp.†		1,376		51,270
				1,715,878
Diversified Manufacturing Operations — 1.3%
Actuant Corp., Class A		9,932		245,420
AZZ, Inc.		4,357		246,606
Barnes Group, Inc.		8,543		299,261
Blount International, Inc.†		3,700		36,926
Colfax Corp.†		26,840		767,356
EnPro Industries, Inc.		3,700		213,416
Fabrinet†		5,151		166,635
Federal Signal Corp.		10,526		139,575
GP Strategies Corp.†		50,581		1,385,919
Harsco Corp.		13,505		73,602
LSB Industries, Inc.†		3,404		43,401
Lydall, Inc.†		2,886		93,853
SPX Corp.		7,058		106,011
Standex International Corp.		2,164		168,381
Tredegar Corp.		4,188		65,835
				4,052,197
Diversified Minerals — 0.1%
US Silica Holdings, Inc.		10,475		237,992
Diversified Operations/Commercial Services — 0.5%
Colliers International Group, Inc.		39,610		1,499,635
Viad Corp.		3,395		98,998
				1,598,633
Drug Delivery Systems — 0.2%
BioDelivery Sciences International, Inc.†		21,600		69,768
Depomed, Inc.†		10,269		143,047
Heron Therapeutics, Inc.†		7,000		132,930
Nektar Therapeutics†		22,922		315,178
Revance Therapeutics, Inc.†		3,800		66,348
				727,271
E-Commerce/Products — 0.0%
Blue Nile, Inc.		1,963		50,469
FTD Cos., Inc.†		3,094		81,217
				131,686
E-Commerce/Services — 0.1%
Stamps.com, Inc.†		2,536		269,526

Security Description	Shares		Value (Note 2)
E-Marketing/Info — 0.0%
Liquidity Services, Inc.†		4,129	$	21,388
QuinStreet, Inc.†		6,025		20,606
				41,994
E-Services/Consulting — 0.0%
Perficient, Inc.†		6,064		131,710
Electric Products-Misc. — 0.1%
Littelfuse, Inc.		3,767		463,755
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		6,500		117,000
Electric-Generation — 0.1%
Atlantic Power Corp.		96,700		237,882
Electric-Integrated — 1.0%
ALLETE, Inc.		7,784		436,449
Avista Corp.		12,638		515,377
El Paso Electric Co.		15,226		698,569
NorthWestern Corp.		10,424		643,682
PNM Resources, Inc.		6,200		209,064
Portland General Electric Co.		12,500		493,625
				2,996,766
Electronic Components-Misc. — 1.7%
Bel Fuse, Inc., Class B		1,491		21,769
Benchmark Electronics, Inc.†		10,300		237,415
CTS Corp.		5,493		86,460
Methode Electronics, Inc.		6,224		181,990
OSI Systems, Inc.†		47,764		3,128,064
Plexus Corp.†		5,628		222,418
Rogers Corp.†		3,030		181,406
Sanmina Corp.†		23,915		559,133
Stoneridge, Inc.†		27,000		393,120
Vishay Intertechnology, Inc.		7,900		96,459
ZAGG, Inc.†		13,700		123,437
				5,231,671
Electronic Components-Semiconductors — 1.3%
Alpha & Omega Semiconductor, Ltd.†		12,400		146,940
CEVA, Inc.†		3,447		77,558
Diodes, Inc.†		6,495		130,550
DSP Group, Inc.†		3,649		33,279
Intersil Corp., Class A		23,900		319,543
InvenSense, Inc.†		104,800		880,320
Kopin Corp.†		10,568		17,543
Microsemi Corp.†		2,027		77,654
Monolithic Power Systems, Inc.		6,236		396,859
QLogic Corp.†		13,968		187,730
Rambus, Inc.†		18,466		253,907
Rovi Corp.†		64,136		1,315,429
Semtech Corp.†		10,943		240,637
Silicon Laboratories, Inc.†		1,500		67,440
				4,145,389
Electronic Design Automation — 0.1%
Mentor Graphics Corp.		17,300		351,709

217

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Measurement Instruments — 0.2%
Badger Meter, Inc.		2,449	$	162,883
ESCO Technologies, Inc.		4,354		169,719
FARO Technologies, Inc.†		2,797		90,091
Itron, Inc.†		6,390		266,591
				689,284
Electronic Parts Distribution — 0.3%
Tech Data Corp.†		13,100		1,005,687
Electronic Security Devices — 0.1%
American Science & Engineering, Inc.		1,208		33,450
TASER International, Inc.†		9,054		177,730
				211,180
Energy-Alternate Sources — 0.5%
FutureFuel Corp.		3,833		45,191
Green Plains, Inc.		6,098		97,324
Renewable Energy Group, Inc.†		5,000		47,200
REX American Resources Corp.†		22,171		1,229,826
				1,419,541
Engineering/R&D Services — 0.7%
Argan, Inc.		11,200		393,792
EMCOR Group, Inc.		28,128		1,367,021
Exponent, Inc.		4,337		221,230
VSE Corp.		4,700		319,083
				2,301,126
Engines-Internal Combustion — 0.3%
Briggs & Stratton Corp.		33,675		805,506
Enterprise Software/Service — 1.5%
ManTech International Corp., Class A		4,129		132,087
MicroStrategy, Inc., Class A†		1,579		283,778
Omnicell, Inc.†		6,042		168,390
Open Text Corp.		36,340		1,882,412
Tyler Technologies, Inc.†		16,395		2,108,561
Xactly Corp.†		18,200		124,670
				4,699,898
Entertainment Software — 0.7%
Take-Two Interactive Software, Inc.†		54,601		2,056,820
Environmental Consulting & Engineering — 0.1%
Tetra Tech, Inc.		9,885		294,771
Finance-Auto Loans — 1.2%
Credit Acceptance Corp.†		20,253		3,676,932
Finance-Consumer Loans — 1.2%
Encore Capital Group, Inc.†		3,966		102,085
Enova International, Inc.†		4,528		28,572
Nelnet, Inc., Class A		5,900		232,283
PRA Group, Inc.†		114,270		3,358,395
World Acceptance Corp.†		1,429		54,187
				3,775,522
Finance-Investment Banker/Broker — 0.7%
Cowen Group, Inc., Class A†		36,100		137,541
Diamond Hill Investment Group, Inc.		2,937		520,906
Evercore Partners, Inc., Class A		6,698		346,621
Greenhill & Co., Inc.		4,674		103,763
Interactive Brokers Group, Inc., Class A		9,818		386,044

Security Description	Shares		Value (Note 2)
Finance-Investment Banker/Broker (continued)
INTL. FCStone, Inc.†		2,606	$	69,658
Investment Technology Group, Inc.		18,229		402,861
KCG Holdings, Inc., Class A†		14,100		168,495
Piper Jaffray Cos.†		2,517		124,743
				2,260,632
Finance-Other Services — 0.3%
MarketAxess Holdings, Inc.		5,800		724,014
WageWorks, Inc.†		6,061		306,747
				1,030,761
Financial Guarantee Insurance — 0.1%
MGIC Investment Corp.†		18,400		141,128
NMI Holdings, Inc., Class A†		17,700		89,385
				230,513
Firearms & Ammunition — 0.1%
Sturm Ruger & Co., Inc.		3,195		218,474
Food-Canned — 0.5%
Seneca Foods Corp., Class A†		2,713		94,250
TreeHouse Foods, Inc.†		16,538		1,434,671
				1,528,921
Food-Dairy Products — 0.1%
Dean Foods Co.		21,200		367,184
Food-Misc./Diversified — 1.0%
B&G Foods, Inc.		16,561		576,488
Cal-Maine Foods, Inc.		5,231		271,541
Darling Ingredients, Inc.†		115,482		1,520,898
J&J Snack Foods Corp.		2,489		269,509
Pinnacle Foods, Inc.		9,900		442,332
				3,080,768
Food-Retail — 0.1%
Ingles Markets, Inc., Class A		7,400		277,500
Smart & Final Stores, Inc.†		2,400		38,880
				316,380
Food-Wholesale/Distribution — 0.1%
Calavo Growers, Inc.		2,492		142,193
SpartanNash Co.		6,287		190,559
				332,752
Footwear & Related Apparel — 0.3%
Crocs, Inc.†		12,311		118,432
Iconix Brand Group, Inc.†		8,160		65,688
Steven Madden, Ltd.†		9,378		347,361
Wolverine World Wide, Inc.		16,844		310,266
				841,747
Forestry — 0.0%
Deltic Timber Corp.		1,803		108,450
Funeral Services & Related Items — 0.1%
Matthews International Corp., Class A		5,567		286,533
Gambling (Non-Hotel) — 0.3%
Isle of Capri Casinos, Inc.†		41,600		582,400
Pinnacle Entertainment, Inc.†		10,264		360,266
				942,666

218

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Gas-Distribution — 1.2%
AGL Resources, Inc.		3,900	$	254,046
Laclede Group, Inc.		12,222		828,041
New Jersey Resources Corp.		8,100		295,083
Northwest Natural Gas Co.		4,626		249,110
Piedmont Natural Gas Co., Inc.		18,500		1,106,855
South Jersey Industries, Inc.		11,645		331,300
Southwest Gas Corp.		12,202		803,502
				3,867,937
Golf — 0.0%
Callaway Golf Co.		15,811		144,196
Hazardous Waste Disposal — 0.1%
US Ecology, Inc.		3,670		162,067
Health Care Cost Containment — 0.4%
CorVel Corp.†		23,466		925,030
ExamWorks Group, Inc.†		6,576		194,386
HealthEquity, Inc.†		5,927		146,219
				1,265,635
Home Furnishings — 0.3%
American Woodmark Corp.†		2,305		171,930
Ethan Allen Interiors, Inc.		4,314		137,271
La-Z-Boy, Inc.		8,413		224,964
Leggett & Platt, Inc.		7,000		338,800
Select Comfort Corp.†		8,200		158,998
				1,031,963
Hotels/Motels — 0.1%
Belmond, Ltd., Class A†		14,679		139,304
Diamond Resorts International, Inc.†		5,200		126,360
Interval Leisure Group, Inc.		6,592		95,188
Marcus Corp.		3,196		60,564
				421,416
Housewares — 0.1%
NACCO Industries, Inc., Class A		5,000		287,050
Human Resources — 1.4%
AMN Healthcare Services, Inc.†		8,063		270,997
Barrett Business Services, Inc.		10,996		316,135
CDI Corp.		2,459		15,443
Cross Country Healthcare, Inc.†		51,193		595,375
Heidrick & Struggles International, Inc.		2,914		69,062
Insperity, Inc.		2,724		140,912
Kelly Services, Inc., Class A		5,010		95,791
Korn/Ferry International		9,659		273,253
Monster Worldwide, Inc.†		15,160		49,422
On Assignment, Inc.†		57,472		2,121,866
Resources Connection, Inc.		6,261		97,421
TrueBlue, Inc.†		7,087		185,325
				4,231,002
Identification Systems — 0.1%
Brady Corp., Class A		7,874		211,338
Checkpoint Systems, Inc.†		6,997		70,810
				282,148
Independent Power Producers — 0.1%
Ormat Technologies, Inc.		10,700		441,268

Security Description	Shares		Value (Note 2)
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		4,400	$	145,156
Instruments-Controls — 0.1%
Watts Water Technologies, Inc., Class A		5,530		304,869
Insurance Brokers — 0.0%
eHealth, Inc.†		2,810		26,386
Insurance-Life/Health — 0.4%
American Equity Investment Life Holding Co.		31,204		524,227
CNO Financial Group, Inc.		27,700		496,384
Primerica, Inc.		7,100		316,163
				1,336,774
Insurance-Multi-line — 0.2%
Horace Mann Educators Corp.		6,811		215,841
Kemper Corp.		8,700		257,259
United Fire Group, Inc.		3,569		156,393
				629,493
Insurance-Property/Casualty — 4.7%
Ambac Financial Group, Inc.†		1,300		20,540
AMERISAFE, Inc.		3,226		169,494
AmTrust Financial Services, Inc.		150,175		3,886,529
Employers Holdings, Inc.		5,432		152,856
First American Financial Corp.		2,400		91,464
Global Indemnity PLC†		1,700		52,921
HCI Group, Inc.		1,509		50,250
Infinity Property & Casualty Corp.		1,867		150,293
National General Holdings Corp.		215,666		4,656,229
Navigators Group, Inc.†		5,751		482,336
ProAssurance Corp.		15,050		761,530
RLI Corp.		52,496		3,509,883
Safety Insurance Group, Inc.		2,367		135,061
Selective Insurance Group, Inc.		9,710		355,483
Stewart Information Services Corp.		4,859		176,285
United Insurance Holdings Corp.		3,011		57,841
Universal Insurance Holdings, Inc.		5,387		95,889
				14,804,884
Insurance-Reinsurance — 0.0%
Aspen Insurance Holdings, Ltd.		2,000		95,400
RenaissanceRe Holdings, Ltd.		100		11,983
				107,383
Internet Application Software — 0.2%
Bazaarvoice, Inc.†		172,400		543,060
Internet Connectivity Services — 0.1%
Cogent Communications Holdings, Inc.		6,937		270,751
Internet Content-Information/News — 0.3%
DHI Group, Inc.†		7,009		56,563
HealthStream, Inc.†		4,110		90,790
WebMD Health Corp.†		11,200		701,456
XO Group, Inc.†		3,982		63,911
				912,720
Internet Security — 0.2%
AVG Technologies NV†		14,300		296,725
Mimecast, Ltd.†		9,200		89,516

219

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Security (continued)
Rapid7, Inc.†		5,300	$	69,271
VASCO Data Security International, Inc.†		15,375		236,775
				692,287
Internet Telephone — 0.0%
8x8, Inc.†		14,915		150,045
Investment Management/Advisor Services — 0.1%
Calamos Asset Management, Inc., Class A		2,908		24,689
Federated Investors, Inc., Class B		2,600		75,010
Financial Engines, Inc.		8,728		274,321
Virtus Investment Partners, Inc.		1,106		86,390
				460,410
Lasers-System/Components — 0.3%
Coherent, Inc.†		5,580		512,802
Electro Scientific Industries, Inc.†		4,671		33,398
II-VI, Inc.†		8,883		192,850
Newport Corp.†		6,513		149,799
Rofin-Sinar Technologies, Inc.†		4,807		154,881
				1,043,730
Linen Supply & Related Items — 0.2%
G&K Services, Inc., Class A		3,355		245,754
UniFirst Corp.		2,575		280,984
				526,738
Machinery-Construction & Mining — 0.1%
Astec Industries, Inc.		3,178		148,317
Hyster-Yale Materials Handling, Inc.		1,900		126,540
				274,857
Machinery-Electrical — 0.1%
Franklin Electric Co., Inc.		6,453		207,593
Machinery-Farming — 0.0%
Lindsay Corp.		1,878		134,484
Machinery-General Industrial — 0.6%
Albany International Corp., Class A		4,856		182,537
Applied Industrial Technologies, Inc.		12,719		552,005
Chart Industries, Inc.†		5,158		112,032
DXP Enterprises, Inc.†		15,539		272,865
Kadant, Inc.		9,900		447,084
Tennant Co.		2,976		153,204
				1,719,727
Machinery-Pumps — 0.1%
SPX FLOW, Inc.†		7,020		176,062
Medical Imaging Systems — 0.1%
Analogic Corp.		2,094		165,447
Medical Information Systems — 0.2%
Computer Programs & Systems, Inc.		1,787		93,138
Medidata Solutions, Inc.†		9,503		367,861
Quality Systems, Inc.		7,494		114,209
				575,208

Security Description	Shares		Value (Note 2)
Medical Instruments — 0.8%
Abaxis, Inc.		3,589	$	162,905
AngioDynamics, Inc.†		4,466		54,887
CONMED Corp.		6,446		270,345
CryoLife, Inc.		4,297		46,193
Integra LifeSciences Holdings Corp.†		4,866		327,774
LivaNova PLC†		6,500		350,870
Natus Medical, Inc.†		5,590		214,824
NuVasive, Inc.†		12,979		631,428
SurModics, Inc.†		21,035		387,254
Vascular Solutions, Inc.†		2,927		95,215
				2,541,695
Medical Laser Systems — 0.1%
Cynosure, Inc., Class A†		3,875		170,965
Medical Products — 0.7%
Cantel Medical Corp.		6,048		431,585
Greatbatch, Inc.†		4,256		151,684
Haemonetics Corp.†		8,574		299,918
Invacare Corp.		5,099		67,154
Luminex Corp.†		6,475		125,615
MiMedx Group, Inc.†		16,542		144,577
Orthofix International NV†		13,530		561,766
Penumbra, Inc.†		800		36,800
Wright Medical Group NV†		22,143		367,574
Zeltiq Aesthetics, Inc.†		5,396		146,555
				2,333,228
Medical-Biomedical/Gene — 1.4%
Acorda Therapeutics, Inc.†		7,714		204,035
Aduro Biotech, Inc.†		1,300		16,653
Aegerion Pharmaceuticals, Inc.†		10,300		38,110
AMAG Pharmaceuticals, Inc.†		5,859		137,101
ANI Pharmaceuticals, Inc.†		1,274		42,883
Applied Genetic Technologies Corp.†		700		9,786
Ardelyx, Inc.†		2,700		20,979
Arrowhead Pharmaceuticals, Inc.†		29,200		140,744
Atara Biotherapeutics, Inc.†		4,600		87,538
Avalanche Biotechnologies, Inc.†		3,800		19,646
Bellicum Pharmaceuticals, Inc.†		11,600		108,460
Blueprint Medicines Corp.†		3,700		66,785
Cambrex Corp.†		7,662		337,128
ChemoCentryx, Inc.†		6,300		15,687
Coherus Biosciences, Inc.†		6,300		133,749
Dimension Therapeutics, Inc.†		8,100		63,423
Edge Therapeutics, Inc.†		8,900		81,435
Emergent BioSolutions, Inc.†		5,192		188,729
Halozyme Therapeutics, Inc.†		9,000		85,230
Idera Pharmaceuticals, Inc.†		16,200		32,076
Infinity Pharmaceuticals, Inc.†		16,500		86,955
Karyopharm Therapeutics, Inc.†		12,800		114,176
Kite Pharma, Inc.†		2,300		105,593
Ligand Pharmaceuticals, Inc.†		3,057		327,374
MacroGenics, Inc.†		5,400		101,250
Medicines Co.†		11,709		371,995
Merrimack Pharmaceuticals, Inc.†		11,600		97,092
Momenta Pharmaceuticals, Inc.†		10,464		96,687
Nivalis Therapeutics, Inc.†		11,700		48,789

220

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Prothena Corp. PLC†		6,500	$	267,540
PTC Therapeutics, Inc.†		13,900		89,516
Repligen Corp.†		5,570		149,388
Sage Therapeutics, Inc.†		4,800		153,888
Spark Therapeutics, Inc.†		4,600		135,746
Spectrum Pharmaceuticals, Inc.†		9,992		63,549
Tokai Pharmaceuticals, Inc.†		7,300		40,953
Trius Therapeutics, Inc. CVR†(1)(2)		13,800		0
Ultragenyx Pharmaceutical, Inc.†		3,000		189,930
Versartis, Inc.†		4,700		37,694
				4,308,292
Medical-Drugs — 1.1%
ACADIA Pharmaceuticals, Inc.†		12,100		338,316
Adamas Pharmaceuticals, Inc.†		7,900		114,234
Aimmune Therapeutics, Inc.†		3,100		42,036
Amicus Therapeutics, Inc.†		24,700		208,715
Anacor Pharmaceuticals, Inc.†		4,100		219,145
Chiasma, Inc.†		4,800		43,968
Chimerix, Inc.†		3,300		16,863
Dicerna Pharmaceuticals, Inc.†		1,800		9,648
Enanta Pharmaceuticals, Inc.†		2,234		65,613
FibroGen, Inc.†		7,300		155,417
Global Blood Therapeutics, Inc.†		7,400		117,364
Immune Design Corp.†		6,100		79,300
Intra-Cellular Therapies, Inc.†		1,000		27,800
Lannett Co., Inc.†		4,695		84,181
Ophthotech Corp.†		3,600		152,172
Orexigen Therapeutics, Inc.†		40,700		22,902
Pacira Pharmaceuticals, Inc.†		4,300		227,814
PharMerica Corp.†		5,146		113,778
Prestige Brands Holdings, Inc.†		16,995		907,363
Radius Health, Inc.†		4,600		144,624
Relypsa, Inc.†		5,300		71,815
Sagent Pharmaceuticals, Inc.†		4,042		49,191
Supernus Pharmaceuticals, Inc.†		5,774		88,054
Synergy Pharmaceuticals, Inc.†		55,600		153,456
TherapeuticsMD, Inc.†		4,500		28,800
				3,482,569
Medical-Generic Drugs — 0.2%
Amphastar Pharmaceuticals, Inc.†		7,100		85,200
Avexis, Inc.†		2,600		70,824
Impax Laboratories, Inc.†		11,508		368,486
				524,510
Medical-HMO — 0.5%
Centene Corp.†		10,575		651,103
Magellan Health, Inc.†		4,168		283,132
Molina Healthcare, Inc.†		9,200		593,308
				1,527,543
Medical-Hospitals — 0.1%
Adeptus Health, Inc., Class A†		4,321		239,989
Select Medical Holdings Corp.		17,709		209,143
				449,132

Security Description	Shares		Value (Note 2)
Medical-Nursing Homes — 0.1%
Ensign Group, Inc.		7,954	$	180,078
Kindred Healthcare, Inc.		14,131		174,518
				354,596
Medical-Outpatient/Home Medical — 0.4%
Addus HomeCare Corp.†		4,000		68,760
Air Methods Corp.†		5,797		209,967
Almost Family, Inc.†		1,459		54,333
Amedisys, Inc.†		4,772		230,679
Amsurg Corp.†		2,900		216,340
Chemed Corp.		2,864		387,929
LHC Group, Inc.†		2,182		77,592
Providence Service Corp.†		2,126		108,575
				1,354,175
Medical-Wholesale Drug Distribution — 0.3%
Owens & Minor, Inc.		20,700		836,694
Metal Processors & Fabrication — 0.2%
CIRCOR International, Inc.		2,761		128,083
Haynes International, Inc.		2,105		76,832
Mueller Industries, Inc.		9,638		283,550
				488,465
Metal Products-Distribution — 0.0%
Olympic Steel, Inc.		1,533		26,536
Metal-Aluminum — 0.1%
Century Aluminum Co.†		8,365		58,973
Kaiser Aluminum Corp.		3,034		256,495
				315,468
Miscellaneous Manufacturing — 0.2%
Hillenbrand, Inc.		10,623		318,159
John Bean Technologies Corp.		4,930		278,101
				596,260
MRI/Medical Diagnostic Imaging — 0.5%
Alliance HealthCare Services, Inc.†		16,500		118,635
Surgical Care Affiliates, Inc.†		28,758		1,330,920
				1,449,555
Multimedia — 0.0%
E.W. Scripps Co., Class A†		8,983		140,045
Networking Products — 0.7%
Anixter International, Inc.†		4,781		249,138
Black Box Corp.		2,594		34,941
Ixia†		10,392		129,484
LogMeIn, Inc.†		4,232		213,547
NETGEAR, Inc.†		14,866		600,140
Polycom, Inc.†		59,300		661,195
Ruckus Wireless, Inc.†		15,129		148,416
				2,036,861
Non-Ferrous Metals — 0.0%
Materion Corp.		3,374		89,344
Office Furnishings-Original — 0.1%
Interface, Inc.		16,209		300,515
Office Supplies & Forms — 0.3%
ACCO Brands Corp.†		103,900		933,022

221

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil & Gas Drilling — 0.0%
Atwood Oceanics, Inc.		9,829	$	90,132
Parker Drilling Co.†		26,200		55,544
				145,676
Oil Companies-Exploration & Production — 0.6%
Bill Barrett Corp.†		95,206		592,181
Bonanza Creek Energy, Inc.†		6,877		10,934
Carrizo Oil & Gas, Inc.†		9,148		282,856
Contango Oil & Gas Co.†		2,945		34,722
Northern Oil and Gas, Inc.†		8,836		35,256
PDC Energy, Inc.†		7,654		455,030
Rex Energy Corp.†		41,477		31,867
Stone Energy Corp.†		66,386		52,445
Synergy Resources Corp.†		19,345		150,311
Unit Corp.†		18,603		163,892
				1,809,494
Oil Field Machinery & Equipment — 0.1%
Exterran Corp.†		7,126		110,168
Flotek Industries, Inc.†		9,038		66,249
Gulf Island Fabrication, Inc.		2,258		17,725
				194,142
Oil Refining & Marketing — 0.1%
Adams Resources & Energy, Inc.		1,500		59,970
Alon USA Energy, Inc.		6,900		71,208
Western Refining, Inc.		3,200		93,088
				224,266
Oil-Field Services — 0.5%
Archrock, Inc.		17,010		136,080
Basic Energy Services, Inc.†		17,946		49,531
Bristow Group, Inc.		5,893		111,496
CARBO Ceramics, Inc.		3,327		47,243
Era Group, Inc.†		3,249		30,476
Gulfmark Offshore, Inc., Class A†		36,352		224,292
Helix Energy Solutions Group, Inc.†		16,864		94,438
Key Energy Services, Inc.†		74,900		27,668
Matrix Service Co.†		4,538		80,323
Newpark Resources, Inc.†		14,187		61,288
Pioneer Energy Services Corp.†		32,875		72,325
SEACOR Holdings, Inc.†		11,463		624,160
Tesco Corp.		6,622		57,015
TETRA Technologies, Inc.†		13,533		85,935
				1,702,270
Optical Recognition Equipment — 0.1%
Lumentum Holdings, Inc.†		7,971		214,978
Paper & Related Products — 0.8%
Clearwater Paper Corp.†		2,942		142,716
Domtar Corp.		3,300		133,650
Neenah Paper, Inc.		28,548		1,817,366
P.H. Glatfelter Co.		7,325		151,847
Schweitzer-Mauduit International, Inc.		5,150		162,122
				2,407,701
Patient Monitoring Equipment — 0.1%
Masimo Corp.†		7,510		314,218

Security Description	Shares		Value (Note 2)
Pharmacy Services — 0.1%
Diplomat Pharmacy, Inc.†		5,968	$	163,523
Physical Therapy/Rehabilitation Centers — 0.0%
U.S. Physical Therapy, Inc.		2,107		104,781
Physicians Practice Management — 0.0%
Healthways, Inc.†		5,300		53,477
Platinum — 0.1%
Stillwater Mining Co.†		20,411		217,377
Poultry — 0.3%
Pilgrim's Pride Corp.†		13,600		345,440
Sanderson Farms, Inc.		7,050		635,769
				981,209
Power Converter/Supply Equipment — 0.3%
Advanced Energy Industries, Inc.†		21,820		759,118
Powell Industries, Inc.		1,475		43,969
Vicor Corp.†		2,781		29,145
				832,232
Printing-Commercial — 0.3%
Deluxe Corp.		8,600		537,414
Ennis, Inc.		19,200		375,360
				912,774
Professional Sports — 0.7%
Madison Square Garden Co., Class A†		13,399		2,229,058
Protection/Safety — 0.1%
Landauer, Inc.		7,616		251,861
Publishing-Books — 0.2%
Houghton Mifflin Harcourt Co.†		19,100		380,854
Scholastic Corp.		4,518		168,838
				549,692
Publishing-Newspapers — 0.1%
Gannett Co., Inc.		19,573		296,335
Racetracks — 0.0%
Speedway Motorsports, Inc.		7,100		140,793
Real Estate Investment Trusts — 5.3%
Acadia Realty Trust		11,881		417,380
Agree Realty Corp.		3,236		124,489
American Assets Trust, Inc.		14,361		573,291
Armada Hoffler Properties, Inc.		1,100		12,375
ARMOUR Residential REIT, Inc.		11,800		254,054
Ashford Hospitality Prime, Inc.		930		10,853
Ashford Hospitality Trust, Inc.		3,400		21,692
Capstead Mtg. Corp.		65,178		644,610
CareTrust REIT, Inc.		9,551		121,298
CBL & Associates Properties, Inc.		8,500		101,150
Cedar Realty Trust, Inc.		12,610		91,170
Chesapeake Lodging Trust		10,131		268,066
CoreSite Realty Corp.		23,905		1,673,589
Cousins Properties, Inc.		36,070		374,407
CYS Investments, Inc.		117,600		957,264
DCT Industrial Trust, Inc.		3,950		155,907
DiamondRock Hospitality Co.		42,148		426,538
EastGroup Properties, Inc.		10,023		605,089
Education Realty Trust, Inc.		10,660		443,456
EPR Properties		4,900		326,438

222

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Equity LifeStyle Properties, Inc.		3,000	$	218,190
FelCor Lodging Trust, Inc.		8,000		64,960
First Industrial Realty Trust, Inc.		4,200		95,508
Four Corners Property Trust, Inc.		9,080		162,986
Franklin Street Properties Corp.		22,235		235,913
GEO Group, Inc.		12,437		431,191
Getty Realty Corp.		4,429		87,827
Gladstone Commercial Corp.		1,700		27,846
Government Properties Income Trust		19,793		353,305
Gramercy Property Trust		10,400		87,880
Hersha Hospitality Trust		14,400		307,296
Hospitality Properties Trust		8,400		223,104
Kite Realty Group Trust		14,064		389,713
Lexington Realty Trust		35,697		306,994
LTC Properties, Inc.		19,526		883,356
Mack-Cali Realty Corp.		7,500		176,250
Medical Properties Trust, Inc.		40,105		520,563
Monogram Residential Trust, Inc.		7,400		72,964
National Retail Properties, Inc.		3,100		143,220
Parkway Properties, Inc.		13,741		215,184
Pennsylvania Real Estate Investment Trust		19,979		436,541
Post Properties, Inc.		4,400		262,856
Potlatch Corp.		15,200		478,800
PS Business Parks, Inc.		4,782		480,639
Ramco-Gershenson Properties Trust		15,200		274,056
Retail Opportunity Investments Corp.		16,793		337,875
RLJ Lodging Trust		21,400		489,632
Sabra Health Care REIT, Inc.		10,992		220,829
Saul Centers, Inc.		5,919		313,825
Silver Bay Realty Trust Corp.		1,900		28,215
Summit Hotel Properties, Inc.		17,335		207,500
Taubman Centers, Inc.		2,700		192,321
Universal Health Realty Income Trust		2,067		116,269
Urstadt Biddle Properties, Inc., Class A		4,463		93,500
				16,540,224
Real Estate Management/Services — 0.8%
FirstService Corp.		52,455		2,147,508
HFF, Inc., Class A		5,828		160,445
RE/MAX Holdings, Inc., Class A		2,965		101,699
				2,409,652
Real Estate Operations & Development — 0.4%
Alexander & Baldwin, Inc.		10,700		392,476
Forestar Group, Inc.†		59,017		769,582
St. Joe Co.†		1,700		29,155
				1,191,213
Recreational Vehicles — 0.0%
Arctic Cat, Inc.		2,196		36,893
Rental Auto/Equipment — 0.0%
Rent-A-Center, Inc.		8,952		141,889
Research & Development — 1.1%
Albany Molecular Research, Inc.†		4,550		69,570
INC Research Holdings, Inc., Class A†		5,800		239,018
PAREXEL International Corp.†		51,722		3,244,521
				3,553,109

Security Description	Shares		Value (Note 2)
Resort/Theme Parks — 0.1%
Marriott Vacations Worldwide Corp.		4,232	$	285,660
Respiratory Products — 0.3%
Inogen, Inc.†		19,219		864,471
Retail-Apparel/Shoe — 1.3%
Abercrombie & Fitch Co., Class A		17,500		551,950
Buckle, Inc.		4,700		159,189
Caleres, Inc.		7,368		208,441
Cato Corp., Class A		4,410		170,005
Children's Place, Inc.		19,992		1,668,732
Express, Inc.†		12,108		259,232
Finish Line, Inc., Class A		7,479		157,807
Francesca's Holdings Corp.†		7,024		134,580
Genesco, Inc.†		3,725		269,131
Guess?, Inc.		6,100		114,497
Stein Mart, Inc.		4,929		36,130
Tailored Brands, Inc.		8,158		146,028
Vera Bradley, Inc.†		3,458		70,336
				3,946,058
Retail-Automobile — 1.5%
Asbury Automotive Group, Inc.†		13,766		823,758
Group 1 Automotive, Inc.		3,751		220,146
Lithia Motors, Inc., Class A		39,710		3,467,874
Sonic Automotive, Inc., Class A		4,875		90,090
				4,601,868
Retail-Bookstores — 0.1%
Barnes & Noble Education, Inc.†		6,590		64,582
Barnes & Noble, Inc.		10,202		126,097
				190,679
Retail-Building Products — 0.0%
Lumber Liquidators Holdings, Inc.†		4,567		59,919
Retail-Discount — 0.8%
Big Lots, Inc.		11,100		502,719
Fred's, Inc., Class A		5,919		88,252
HSN, Inc.		36,150		1,891,007
Tuesday Morning Corp.†		7,484		61,219
				2,543,197
Retail-Hair Salons — 0.3%
Regis Corp.†		67,733		1,028,864
Retail-Home Furnishings — 0.0%
Haverty Furniture Cos., Inc.		3,393		71,796
Kirkland's, Inc.		2,612		45,736
				117,532
Retail-Jewelry — 0.1%
Movado Group, Inc.		10,563		290,799
Retail-Leisure Products — 0.0%
MarineMax, Inc.†		4,086		79,554
Retail-Misc./Diversified — 0.1%
Five Below, Inc.†		9,198		380,245
Retail-Pawn Shops — 0.2%
Cash America International, Inc.		8,626		333,309
EZCORP, Inc., Class A†		8,755		26,002
First Cash Financial Services, Inc.		4,762		219,338
				578,649

223

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Pet Food & Supplies — 0.0%
PetMed Express, Inc.		3,397	$	60,840
Retail-Petroleum Products — 0.6%
World Fuel Services Corp.		38,533		1,871,933
Retail-Regional Department Stores — 0.1%
Dillard's, Inc., Class A		1,300		110,383
Stage Stores, Inc.		5,153		41,533
				151,916
Retail-Restaurants — 1.5%
Biglari Holdings, Inc.†		178		66,164
BJ's Restaurants, Inc.†		3,332		138,511
Bloomin' Brands, Inc.		7,100		119,777
Bob Evans Farms, Inc.		9,339		436,038
Bravo Brio Restaurant Group, Inc.†		13,400		103,850
DineEquity, Inc.		3,612		337,469
Jack in the Box, Inc.		10,400		664,248
Papa John's International, Inc.		4,708		255,126
Popeyes Louisiana Kitchen, Inc.†		3,786		197,099
Red Robin Gourmet Burgers, Inc.†		2,298		148,152
Ruby Tuesday, Inc.†		33,362		179,488
Ruth's Hospitality Group, Inc.		5,672		104,422
Sonic Corp.		39,382		1,384,671
Texas Roadhouse, Inc.		10,636		463,517
				4,598,532
Retail-Sporting Goods — 0.1%
Big 5 Sporting Goods Corp.		3,104		34,485
Hibbett Sports, Inc.†		3,842		137,928
Zumiez, Inc.†		3,375		67,230
				239,643
Retail-Video Rentals — 0.4%
Outerwall, Inc.		37,801		1,398,259
Retail-Vitamins & Nutrition Supplements — 0.1%
Flex Pharma, Inc.†		12,300		134,931
Vitamin Shoppe, Inc.†		4,348		134,614
				269,545
Rubber-Tires — 0.4%
Cooper Tire & Rubber Co.		34,300		1,269,786
Rubber/Plastic Products — 0.1%
Myers Industries, Inc.		6,361		81,802
Proto Labs, Inc.†		3,976		306,510
				388,312
Satellite Telecom — 0.2%
DigitalGlobe, Inc.†		34,900		603,770
Iridium Communications, Inc.†		13,634		107,300
				711,070
Savings & Loans/Thrifts — 1.4%
Astoria Financial Corp.		17,389		275,442
Banc of California, Inc.		7,554		132,195
Bank Mutual Corp.		7,147		54,103
BankFinancial Corp.		1,500		17,730
Beneficial Bancorp, Inc.†		7,299		99,923
BofI Holding, Inc.†		9,672		206,400

Security Description	Shares		Value (Note 2)
Savings & Loans/Thrifts (continued)
Brookline Bancorp, Inc.		11,870	$	130,689
Capitol Federal Financial, Inc.		1,700		22,542
Charter Financial Corp.		6,400		86,400
Dime Community Bancshares, Inc.		5,167		91,043
Flushing Financial Corp.		6,000		129,720
Investors Bancorp, Inc.		19,600		228,144
Meridian Bancorp, Inc.		49,500		689,040
Northfield Bancorp, Inc.		53,993		887,645
Northwest Bancshares, Inc.		17,161		231,845
OceanFirst Financial Corp.		5,600		99,008
Oritani Financial Corp.		19,164		325,213
Provident Financial Services, Inc.		9,985		201,597
Sterling Bancorp		20,243		322,471
				4,231,150
Schools — 0.4%
American Public Education, Inc.†		2,706		55,825
Capella Education Co.		1,801		94,805
Career Education Corp.†		11,483		52,133
K12, Inc.†		7,800		77,142
Strayer Education, Inc.†		18,359		895,001
Universal Technical Institute, Inc.		3,555		15,322
				1,190,228
Security Services — 0.1%
Ascent Capital Group, Inc., Class A†		4,300		63,683
Brink's Co.		8,243		276,882
				340,565
Seismic Data Collection — 0.0%
Geospace Technologies Corp.†		2,247		27,728
Semiconductor Components-Integrated Circuits — 0.4%
Cirrus Logic, Inc.†		10,643		387,512
Exar Corp.†		8,181		47,041
Integrated Device Technology, Inc.†		24,400		498,736
Power Integrations, Inc.		4,843		240,503
				1,173,792
Semiconductor Equipment — 0.8%
Brooks Automation, Inc.		11,540		120,016
Cabot Microelectronics Corp.		4,026		164,704
Cohu, Inc.		42,705		507,335
Kulicke & Soffa Industries, Inc.†		11,865		134,312
MKS Instruments, Inc.		8,981		338,135
Nanometrics, Inc.†		4,097		64,896
Rudolph Technologies, Inc.†		5,232		71,469
Tessera Technologies, Inc.		12,673		392,863
Ultratech, Inc.†		4,472		97,669
Veeco Instruments, Inc.†		6,740		131,295
Xcerra Corp.†		51,600		336,432
				2,359,126
Steel Pipe & Tube — 0.0%
TimkenSteel Corp.		6,411		58,340
Steel-Producers — 0.2%
AK Steel Holding Corp.†		30,072		124,197
Commercial Metals Co.		4,100		69,577
Worthington Industries, Inc.		14,000		498,960
				692,734

224

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Storage/Warehousing — 0.8%
Mobile Mini, Inc.		7,519	$	248,277
Wesco Aircraft Holdings, Inc.†		154,678		2,225,817
				2,474,094
Telecom Equipment-Fiber Optics — 0.2%
Harmonic, Inc.†		60,817		198,871
Viavi Solutions, Inc.†		39,074		268,048
				466,919
Telecom Services — 0.4%
Consolidated Communications Holdings, Inc.		8,510		219,218
EarthLink Holdings Corp.		59,400		336,798
Lumos Networks Corp.†		3,873		49,729
Ooma, Inc.†		16,000		94,400
Spok Holdings, Inc.		3,483		60,987
Vonage Holdings Corp.†		7,000		31,990
West Corp.		16,100		367,402
				1,160,524
Telecommunication Equipment — 0.3%
ADTRAN, Inc.		8,302		167,866
Comtech Telecommunications Corp.		2,723		63,637
Plantronics, Inc.		14,900		583,931
				815,434
Telephone-Integrated — 0.4%
Atlantic Tele-Network, Inc.		1,815		137,632
Cincinnati Bell, Inc.†		182,113		704,777
General Communication, Inc., Class A†		6,965		127,599
Windstream Holdings, Inc.		22,100		169,728
				1,139,736
Television — 0.2%
Sinclair Broadcast Group, Inc., Class A		22,900		704,175
Textile-Apparel — 0.0%
Perry Ellis International, Inc.†		1,995		36,728
Unifi, Inc.†		2,527		57,894
				94,622
Therapeutics — 0.3%
Anika Therapeutics, Inc.†		2,416		108,044
aTyr Pharma, Inc.†		15,300		60,282
Axsome Therapeutics, Inc.†		11,300		97,180
Cara Therapeutics, Inc.†		3,400		21,148
Flexion Therapeutics, Inc.†		8,700		80,040
Mirati Therapeutics, Inc.†		5,600		119,840
Neurocrine Biosciences, Inc.†		7,100		280,805
Portola Pharmaceuticals, Inc.†		2,100		42,840
Proteostasis Therapeutics, Inc.†		5,000		48,200
Seres Therapeutics, Inc.†		3,700		98,272
Xencor, Inc.†		5,700		76,494
Zafgen, Inc.†		1,000		6,680
				1,039,825
Tobacco — 0.1%
Universal Corp.		8,030		456,184

Security Description	Shares		Value (Note 2)
Transactional Software — 0.2%
ACI Worldwide, Inc.†		15,200	$	316,008
Bottomline Technologies de, Inc.†		6,390		194,831
Synchronoss Technologies, Inc.†		6,739		217,939
				728,778
Transport-Air Freight — 0.1%
Atlas Air Worldwide Holdings, Inc.†		10,154		429,210
Transport-Equipment & Leasing — 0.0%
Greenbrier Cos., Inc.		4,388		121,284
Transport-Marine — 0.0%
Hornbeck Offshore Services, Inc.†		5,400		53,622
Tidewater, Inc.		7,920		54,094
				107,716
Transport-Rail — 0.3%
Genesee & Wyoming, Inc., Class A†		13,533		848,519
Transport-Services — 0.5%
Echo Global Logistics, Inc.†		4,204		114,181
Hub Group, Inc., Class A†		5,900		240,661
Matson, Inc.		29,325		1,177,985
				1,532,827
Transport-Truck — 0.6%
ArcBest Corp.		13,487		291,184
Celadon Group, Inc.		4,700		49,256
Forward Air Corp.		5,150		233,398
Heartland Express, Inc.		9,972		184,981
Knight Transportation, Inc.		10,336		270,286
Marten Transport, Ltd.		4,025		75,348
P.A.M. Transportation Services, Inc.†		1,998		61,538
Roadrunner Transportation Systems, Inc.†		5,097		63,509
Saia, Inc.†		4,211		118,540
Swift Transportation Co.†		9,900		184,437
USA Truck, Inc.†		17,600		331,584
				1,864,061
Veterinary Diagnostics — 1.1%
Neogen Corp.†		68,730		3,460,555
Phibro Animal Health Corp., Class A		3,118		84,311
				3,544,866
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		1,500		92,340
Water — 0.4%
American States Water Co.		23,958		942,987
California Water Service Group		8,072		215,684
				1,158,671
Web Hosting/Design — 0.2%
NIC, Inc.		10,295		185,619
Web.com Group, Inc.†		23,500		465,770
				651,389
Web Portals/ISP — 0.0%
Blucora, Inc.†		18,648		96,224
Wire & Cable Products — 0.1%
Encore Wire Corp.		3,488		135,788
General Cable Corp.		8,277		101,062
				236,850

225

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
COMMON STOCKS (continued)
Wireless Equipment — 0.7%
CalAmp Corp.†		6,164	$	110,520
InterDigital, Inc.		15,875		883,444
Ubiquiti Networks, Inc.†		15,000		499,050
ViaSat, Inc.†		7,581		557,052
				2,050,066
Total Common Stocks (cost $285,787,861)				304,735,973
EXCHANGE-TRADED FUNDS — 1.2%
iShares Core S&P Small-Cap ETF (cost $3,504,514)		33,444		3,764,791
Total Long-Term Investment Securities (cost $289,292,375)				308,500,764
SHORT-TERM INVESTMENT SECURITIES — 1.3%
Registered Investment Companies — 0.6%
SSgA Prime Money Market Fund 0.40%(3)		1,991,061		1,991,061
Time Deposits — 0.7%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 04/01/16	$	2,022,000		2,022,000
Total Short-Term Investment Securities (cost $4,013,061)				4,013,061

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS — 0.2%
State Street Bank and Trust Co. Joint Repurchase Agreement(4) (cost $790,000)	$	790,000		$	790,000
TOTAL INVESTMENTS (cost $294,095,436)(5)		100.0	%		313,303,825
Liabilities in excess of other assets		(0.0	)		(149,293	)
NET ASSETS		100.0	%	$	313,154,532

†  Non-income producing security

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Illiquid security. At March 31, 2016, the aggregate value of these securities was $0 representing 0.0% of net assets.

(3)  The rate shown is the 7-day yield as of March 31, 2016.

(4)  See Note 2 for details of Joint Repurchase Agreements.

(5)  See Note 4 for cost of investments on a tax basis.

CVR — Contingent Value Rights

ETF — Exchange Traded Fund

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	29	Long	Russell 2000 Mini Index	June 2016	$	3,138,987	$	3,217,840	$	78,853

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Medical-Biomedical/Gene	$	4,308,292	$	—	$	0	$	4,308,292
Other Industries		300,427,681		—		—		300,427,681
Exchange-Traded Funds		3,764,791		—		—		3,764,791
Short-Term Investment Securities:
Registered Investment Companies		1,991,061		—		—		1,991,061
Time Deposits		—		2,022,000		—		2,022,000
Repurchase Agreements		—		790,000		—		790,000
Total Investment at Value	$	310,491,825	$	2,812,000	$	0	$	313,303,825
Other Financial Instruments:†
Futures Contracts	$	78,853	$	—	$	—	$	78,853

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

226

Seasons Series Trust International Equity Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Medical-Drugs	9.4	%
Banks-Commercial	7.9
Diversified Banking Institutions	4.9
Telephone-Integrated	4.3
Insurance-Life/Health	3.2
Oil Companies-Integrated	3.2
Food-Misc./Diversified	2.2
Auto-Cars/Light Trucks	2.2
Cosmetics & Toiletries	2.1
Repurchase Agreements	2.0
Beverages-Wine/Spirits	1.9
Insurance-Multi-line	1.8
Auto/Truck Parts & Equipment-Original	1.5
Electronic Components-Semiconductors	1.5
Chemicals-Specialty	1.5
Cellular Telecom	1.5
Real Estate Investment Trusts	1.4
Soap & Cleaning Preparation	1.3
Transport-Rail	1.2
Cable/Satellite TV	1.2
Real Estate Operations & Development	1.2
Brewery	1.2
Electric-Integrated	1.1
Power Converter/Supply Equipment	1.1
Exchange-Traded Funds	1.1
Machinery-Electrical	1.1
Commercial Paper	1.0
Semiconductor Components-Integrated Circuits	0.9
Building & Construction Products-Misc.	0.9
Building-Residential/Commercial	0.9
Retail-Jewelry	0.9
Food-Retail	0.9
Chemicals-Diversified	0.8
Tobacco	0.8
Transport-Services	0.8
Investment Management/Advisor Services	0.8
Consumer Products-Misc.	0.8
Insurance-Property/Casualty	0.8
E-Commerce/Services	0.8
Oil Companies-Exploration & Production	0.8
Import/Export	0.8
Optical Supplies	0.7
Water	0.7
Electronic Measurement Instruments	0.7
Advertising Agencies	0.7
Electronic Components-Misc.	0.7
Gas-Distribution	0.6
Diversified Manufacturing Operations	0.6
Diversified Minerals	0.6
Commercial Services	0.6
Dialysis Centers	0.6
Web Portals/ISP	0.6
E-Commerce/Products	0.5
Semiconductor Equipment	0.5
Insurance-Reinsurance	0.5
Resorts/Theme Parks	0.5
Medical-Generic Drugs	0.5
Finance-Investment Banker/Broker	0.5
Internet Application Software	0.4
Retail-Drug Store	0.4

Food-Catering	0.4	%
Metal-Diversified	0.4
Audio/Video Products	0.4
Retail-Apparel/Shoe	0.4
Retail-Major Department Stores	0.4
Aerospace/Defense	0.4
Finance-Credit Card	0.4
Satellite Telecom	0.4
Apparel Manufacturers	0.4
Rubber-Tires	0.4
Electric Products-Misc.	0.4
Building Products-Cement	0.4
Machinery-General Industrial	0.3
Oil Refining & Marketing	0.3
Retail-Building Products	0.3
Transport-Marine	0.3
Computer Services	0.3
Networking Products	0.3
Medical-Biomedical/Gene	0.3
Wireless Equipment	0.3
Finance-Other Services	0.2
Paper & Related Products	0.2
Enterprise Software/Service	0.2
Machine Tools & Related Products	0.2
Applications Software	0.2
Finance-Leasing Companies	0.2
Medical Products	0.2
Industrial Gases	0.2
Steel-Producers	0.2
Multimedia	0.2
Steel-Specialty	0.2
Building-Heavy Construction	0.2
Medical Labs & Testing Services	0.2
Telecom Services	0.2
Machinery-Construction & Mining	0.2
Real Estate Management/Services	0.1
Human Resources	0.1
Medical Instruments	0.1
Internet Content-Information/News	0.1
Casino Hotels	0.1
Agricultural Chemicals	0.1
Aerospace/Defense-Equipment	0.1
Textile-Apparel	0.1
E-Marketing/Info	0.1
Office Automation & Equipment	0.1
Instruments-Scientific	0.1
Investment Companies	0.1
Public Thoroughfares	0.1
Registered Investment Companies	0.1
Engineering/R&D Services	0.1
Metal Processors & Fabrication	0.1
Industrial Automated/Robotic	0.1
Athletic Footwear	0.1
Metal-Copper	0.1
Security Services	0.1
Photo Equipment & Supplies	0.1
Auto-Heavy Duty Trucks	0.1
Machinery-Farming	0.1
Shipbuilding	0.1
Electronics-Military	0.1

227

Seasons Series Trust International Equity Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Building Products-Air & Heating	0.1	%
Toys	0.1
Transactional Software	0.1
Energy-Alternate Sources	0.1
Diversified Operations/Commercial Services	0.1
	99.8	%
Country Allocation*
Japan	20.0	%
United Kingdom	19.6
France	10.6
Switzerland	8.4
Germany	7.6
United States	4.3
Australia	4.0
Netherlands	2.4
Denmark	2.2
Italy	2.2
Cayman Islands	2.2
Sweden	2.1
Jersey	2.0
Hong Kong	2.0
Singapore	1.4
Spain	1.2
Luxembourg	1.2
Taiwan	0.9
Norway	0.8
Canada	0.8
Ireland	0.7
Belgium	0.7
Finland	0.6
South Korea	0.5
China	0.3
Mexico	0.3
India	0.2
Israel	0.2
Brazil	0.1
Bermuda	0.1
Austria	0.1
New Zealand	0.1
	99.8	%

*  Calculated as a percentage of net assets

228

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 95.6%
Australia — 4.0%
AGL Energy, Ltd.		12,977	$	183,034
Alumina, Ltd.		48,724		48,554
Amcor, Ltd.		23,255		255,805
AMP, Ltd.		57,732		256,233
APA Group		21,810		147,290
Aristocrat Leisure, Ltd.		10,466		82,634
Asciano, Ltd.		12,173		83,608
ASX, Ltd.		3,718		118,077
Aurizon Holdings, Ltd.		41,652		126,436
AusNet Services		31,442		35,912
Australia & New Zealand Banking Group, Ltd.		199,052		3,579,605
Bank of Queensland, Ltd.		7,178		66,688
Beach Energy, Ltd.		482,357		242,187
Bendigo & Adelaide Bank, Ltd.		8,876		60,351
BGP Holdings PLC†(2)(3)		98,723		0
BHP Billiton, Ltd.		88,465		1,143,325
Boral, Ltd.		15,409		72,997
Brambles, Ltd.		30,292		281,430
Caltex Australia, Ltd.		5,196		135,501
Challenger, Ltd.		250,655		1,612,052
CIMIC Group, Ltd.		2,004		53,397
Coca-Cola Amatil, Ltd.		11,072		75,027
Cochlear, Ltd.		1,128		88,456
Commonwealth Bank of Australia		32,361		1,858,490
Computershare, Ltd.		9,039		67,764
Crown Resorts, Ltd.		6,942		66,305
CSL, Ltd.		25,490		1,982,073
Dexus Property Group		17,925		109,099
Duet Group(5)		43,237		75,567
Flight Centre Travel Group, Ltd.		1,121		37,148
Fortescue Metals Group, Ltd.		30,365		59,355
Goodman Group		34,292		175,331
GPT Group		32,105		123,050
Harvey Norman Holdings, Ltd.		10,894		39,249
Healthscope, Ltd.		30,836		62,875
Iluka Resources, Ltd.		8,204		41,254
Incitec Pivot, Ltd.		32,512		79,501
Insurance Australia Group, Ltd.		45,815		195,967
LendLease Group		10,716		113,933
Macquarie Group, Ltd.		36,777		1,863,171
Medibank Private, Ltd.		53,281		119,669
Mirvac Group		71,172		105,568
National Australia Bank, Ltd.		50,377		1,013,297
Newcrest Mining, Ltd.†		14,926		194,048
Orica, Ltd.		7,220		85,065
Origin Energy, Ltd.		33,078		129,062
Platinum Asset Management, Ltd.		4,442		21,622
Qantas Airways, Ltd.		10,005		31,214
QBE Insurance Group, Ltd.		82,674		691,408
Ramsay Health Care, Ltd.		2,555		120,176
REA Group, Ltd.		1,030		42,659
Rio Tinto, Ltd.		25,700		841,008
Santos, Ltd.		31,421		97,066
Scentre Group		428,006		1,456,711

Security Description	Shares		Value (Note 2)
Australia (continued)
SEEK, Ltd.		6,381	$	79,142
Sonic Healthcare, Ltd.		7,420		106,817
South32, Ltd.†		785,179		881,753
Stockland		45,272		148,183
Suncorp Group, Ltd.		24,988		228,131
Sydney Airport		20,728		106,298
Tabcorp Holdings, Ltd.		15,812		51,877
Tatts Group, Ltd.		27,437		79,500
Telstra Corp., Ltd.		882,105		3,604,027
TPG Telecom, Ltd.		5,468		47,532
Transurban Group		38,216		332,492
Treasury Wine Estates, Ltd.		12,662		93,566
Vicinity Centres		65,289		159,651
Wesfarmers, Ltd.		21,443		681,319
Westfield Corp.		38,375		293,869
Westpac Banking Corp.		63,144		1,469,032
Woodside Petroleum, Ltd.		14,479		288,127
Woolworths, Ltd.		24,489		414,862
WorleyParsons, Ltd.		112,787		465,138
				30,178,620
Austria — 0.1%
ANDRITZ AG		1,402		76,983
Erste Group Bank AG†		5,420		152,335
OMV AG		2,854		80,296
Raiffeisen Bank International AG†		2,260		34,242
voestalpine AG		2,181		72,976
				416,832
Belgium — 0.7%
Ageas		3,889		154,310
Anheuser-Busch InBev SA/NV		15,290		1,900,785
Colruyt SA		1,341		78,127
Delhaize Group		1,998		208,596
Groupe Bruxelles Lambert SA		1,568		129,374
KBC Groep NV		4,864		250,918
Proximus SADP		2,937		100,377
Solvay SA		1,398		140,227
Telenet Group Holding NV†		1,017		51,480
UCB SA		2,455		187,838
Umicore SA		36,412		1,812,703
				5,014,735
Bermuda — 0.1%
Cheung Kong Infrastructure Holdings, Ltd.		12,000		117,411
First Pacific Co., Ltd.		46,000		34,393
Hongkong Land Holdings, Ltd.		11,200		67,088
Kerry Properties, Ltd.		13,500		37,242
Li & Fung, Ltd.		110,000		65,229
Noble Group, Ltd.†		86,000		28,074
NWS Holdings, Ltd.		28,000		44,469
Shangri-La Asia, Ltd.		20,000		22,817
Yue Yuen Industrial Holdings, Ltd.		14,000		48,187
				464,910
Brazil — 0.1%
Lojas Renner SA		120,000		693,838

229

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Canada — 0.8%
Agnico Eagle Mines, Ltd.		9,400	$	340,101
MEG Energy Corp.†		72,707		366,684
National Bank of Canada		56,000		1,832,100
PrairieSky Royalty, Ltd.		87,605		1,662,050
Sun Life Financial, Inc.		67,800		2,187,349
				6,388,284
Cayman Islands — 2.2%
Alibaba Group Holding, Ltd. ADR†		45,738		3,614,674
ASM Pacific Technology, Ltd.		4,600		35,965
Baidu, Inc. ADR†		6,500		1,240,720
Cheung Kong Property Holdings, Ltd.		250,524		1,611,523
CK Hutchison Holdings, Ltd.		234,024		3,031,887
Ctrip.com International, Ltd. ADR†		61,182		2,707,915
Melco Crown Entertainment, Ltd. ADR		1,800		29,718
MGM China Holdings, Ltd.		18,800		28,646
Sands China, Ltd.		47,600		193,595
Tencent Holdings, Ltd.		158,800		3,244,639
WH Group, Ltd.†*		112,500		81,503
Wynn Macau, Ltd.		328,000		507,390
				16,328,175
China — 0.3%
China Oilfield Services, Ltd.		192,000		150,484
Ping An Insurance Group Co. of China, Ltd.		232,000		1,111,050
TravelSky Technology, Ltd.		715,000		1,174,254
				2,435,788
Denmark — 2.2%
AP Moeller - Maersk A/S, Series A		77		98,300
AP Moeller - Maersk A/S, Series B		1,265		1,659,365
Carlsberg A/S, Class B		2,088		198,964
Chr. Hansen Holding A/S		1,866		125,264
Coloplast A/S, Class B		2,157		163,443
Danske Bank A/S		69,586		1,965,856
DSV A/S		3,434		142,950
GN Store Nord A/S		63,019		1,317,447
ISS A/S		2,814		112,973
Novo Nordisk A/S, Class B		180,230		9,775,933
Novozymes A/S, Class B		4,418		198,619
Pandora A/S		2,119		277,475
TDC A/S		15,593		76,316
Tryg A/S		2,030		39,400
Vestas Wind Systems A/S		4,360		307,600
William Demant Holding A/S†		417		41,932
				16,501,837
Finland — 0.6%
Elisa Oyj		2,802		108,947
Fortum Oyj		8,655		131,084
Kone OYJ, Class B		6,475		312,104
Metso Oyj		2,172		51,828
Neste Oyj		2,474		81,414
Nokia OYJ		71,025		422,281
Nokian Renkaat Oyj		2,214		78,149
Orion Oyj, Class B		1,995		65,947

Security Description	Shares		Value (Note 2)
Finland (continued)
Outokumpu Oyj†		284,573	$	1,110,040
Sampo Oyj, Class A		8,541		405,663
Stora Enso Oyj, Class R		148,800		1,331,698
UPM-Kymmene Oyj		10,376		187,965
Wartsila Oyj Abp		2,881		130,378
				4,417,498
France — 10.6%
Accor SA		4,046		171,451
Aeroports de Paris		565		69,853
Air Liquide SA		6,551		737,164
Alcatel-Lucent SA†		54,728		204,262
Alstom SA†		4,209		107,594
Arkema SA		1,277		95,875
Atos SE		1,576		128,367
AXA SA		178,485		4,202,099
BNP Paribas SA		173,754		8,744,919
Bollore SA		16,732		65,000
Bouygues SA		3,888		158,606
Bureau Veritas SA		5,107		113,755
Cap Gemini SA		3,107		291,958
Carrefour SA		10,621		292,231
Casino Guichard Perrachon SA		1,086		62,258
Christian Dior SE		1,065		193,171
Cie de Saint-Gobain		9,205		405,672
Cie Generale des Etablissements Michelin		3,612		369,621
CNP Assurances		3,272		51,027
Credit Agricole SA		20,018		216,806
Danone SA		11,276		802,063
Dassault Systemes		2,469		195,905
Edenred		4,017		78,026
Electricite de France SA		4,703		52,788
Engie SA		145,149		2,252,851
Essilor International SA		44,455		5,491,038
Eurazeo SA		784		53,009
Eutelsat Communications SA		70,742		2,285,319
Fonciere Des Regions		570		53,866
Gecina SA		669		92,112
Groupe Eurotunnel SE		9,080		101,771
Hermes International		518		182,400
ICADE		731		55,997
Iliad SA		511		131,499
Imerys SA		687		47,913
Ingenico Group SA		1,053		120,959
JCDecaux SA		1,293		56,601
Kering		7,489		1,338,764
Klepierre		4,178		200,149
L'Oreal SA		18,511		3,316,474
Lagardere SCA		2,276		60,473
Legrand SA		34,606		1,939,177
LVMH Moet Hennessy Louis Vuitton SE		5,312		909,701
Natixis SA		18,153		89,380
Numericable-SFR SA		1,889		79,510
Orange SA		38,328		671,429
Pernod Ricard SA		42,145		4,699,765

230

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
France (continued)
Peugeot SA†		8,358	$	143,229
Publicis Groupe SA		3,666		257,426
Remy Cointreau SA		487		36,973
Renault SA		3,737		371,314
Rexel SA		5,386		76,946
Safran SA		5,949		416,181
Sanofi		148,617		11,983,223
Schneider Electric SE		128,000		8,089,466
SCOR SE		3,002		106,578
Societe BIC SA		549		82,586
Societe Generale SA		13,809		510,367
Sodexo SA		1,826		196,851
Suez Environnement Co.		264,259		4,847,288
Technip SA		1,998		110,743
Thales SA		2,003		175,499
TOTAL SA		143,507		6,541,661
Unibail-Rodamco SE (Euronext Amsterdam)		3,334		917,331
Unibail-Rodamco SE (Euronext Paris)		3,901		1,073,337
Valeo SA		1,466		228,204
Veolia Environnement SA		8,170		196,810
Vinci SA		9,187		684,416
Vivendi SA		22,219		467,230
Wendel SA		604		65,746
Zodiac Aerospace		3,569		71,517
				79,691,550
Germany — 7.6%
adidas AG		4,057		475,495
Allianz SE		18,580		3,022,274
Axel Springer SE		760		40,966
BASF SE		37,762		2,848,869
Bayer AG		90,807		10,673,913
Bayerische Motoren Werke AG		20,308		1,864,853
Bayerische Motoren Werke AG (preference shares)		1,054		84,266
Beiersdorf AG		1,960		176,951
Brenntag AG		132,977		7,595,988
Commerzbank AG†		79,986		695,454
Continental AG		2,091		475,870
Covestro AG†*		23,950		898,249
Daimler AG		18,312		1,403,804
Deutsche Bank AG		46,259		786,940
Deutsche Boerse AG		3,764		321,186
Deutsche Lufthansa AG†		4,478		72,382
Deutsche Post AG		18,771		521,599
Deutsche Telekom AG		232,329		4,170,391
Deutsche Wohnen AG		6,493		201,925
E.ON SE		116,584		1,119,393
Evonik Industries AG		2,677		80,312
Fraport AG Frankfurt Airport Services Worldwide		689		41,796
Fresenius Medical Care AG & Co. KGaA		4,204		372,366
Fresenius SE & Co. KGaA		49,233		3,597,187

Security Description	Shares		Value (Note 2)
Germany (continued)
FUCHS PETROLUB SE (preference shares)		1,331	$	59,469
GEA Group AG		3,574		174,875
Hannover Rueck SE		1,161		135,281
HeidelbergCement AG		2,749		235,389
Hella KGaA Hueck & Co.		25,900		1,099,143
Henkel AG & Co. KGaA		2,018		198,330
Henkel AG & Co. KGaA (preference shares)		3,446		379,965
HUGO BOSS AG		1,287		84,412
Infineon Technologies AG		21,880		311,340
K+S AG		3,692		86,396
Kabel Deutschland Holding AG		418		46,851
LANXESS AG		1,782		85,652
Linde AG		3,546		516,681
MAN SE		699		75,658
Merck KGaA		2,509		209,299
METRO AG		3,144		97,417
Muenchener Rueckversicherungs- Gesellschaft AG		12,997		2,643,584
OSRAM Licht AG		1,731		89,237
Porsche Automobil Holding SE (preference shares)		2,972		153,163
ProSiebenSat.1 Media SE		4,262		219,135
RWE AG		9,497		122,925
SAP SE		18,703		1,513,160
Siemens AG		40,057		4,245,856
Symrise AG		2,419		162,402
Telefonica Deutschland Holding AG		264,845		1,434,809
ThyssenKrupp AG		7,089		147,296
TUI AG		18,329		284,047
United Internet AG		2,385		119,696
Volkswagen AG		678		98,404
Volkswagen AG (preference shares)		3,529		449,150
Vonovia SE		8,993		323,623
Zalando SE†*		1,649		54,134
				57,399,208
Hong Kong — 2.0%
AIA Group, Ltd.		1,930,712		10,938,631
Bank of East Asia, Ltd.		25,000		93,299
BOC Hong Kong Holdings, Ltd.		71,000		211,883
Cathay Pacific Airways, Ltd.		21,000		36,384
CLP Holdings, Ltd.		35,500		321,485
Galaxy Entertainment Group, Ltd.		45,000		168,518
Hang Lung Properties, Ltd.		46,000		87,999
Hang Seng Bank, Ltd.		14,300		253,285
Henderson Land Development Co., Ltd.		21,350		130,868
HK Electric Investments & HK Electric Investments, Ltd.*		49,500		43,519
HKT Trust & HKT, Ltd.		50,000		68,838
Hong Kong & China Gas Co., Ltd.		130,570		244,397
Hong Kong Exchanges and Clearing, Ltd.		21,500		517,174
Hysan Development Co., Ltd.		12,000		51,126

231

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Hong Kong (continued)
Link REIT		43,500	$	257,669
MTR Corp., Ltd.		26,500		130,666
New World Development Co., Ltd.		105,000		100,163
PCCW, Ltd.		77,000		49,630
Power Assets Holdings, Ltd.		26,000		266,122
Sino Land Co., Ltd.		62,000		98,467
SJM Holdings, Ltd.		41,000		29,122
Sun Hung Kai Properties, Ltd.		32,000		390,855
Swire Pacific, Ltd., Class A		10,500		113,090
Swire Properties, Ltd.		22,600		61,326
Techtronic Industries Co., Ltd.		27,000		106,854
Wharf Holdings, Ltd.		26,000		142,110
Wheelock & Co., Ltd.		19,000		84,868
				14,998,348
India — 0.2%
Infosys, Ltd. ADR		85,000		1,616,700
Ireland — 0.7%
Bank of Ireland†		534,317		155,040
CRH PLC		15,833		447,346
DCC PLC		22,596		1,995,889
James Hardie Industries PLC CDI		8,719		119,368
Kerry Group PLC, Class A		3,063		285,384
Permanent TSB Group Holdings PLC†		651,720		2,017,872
				5,020,899
Isle of Man — 0.0%
Genting Singapore PLC		118,000		73,102
Israel — 0.2%
Azrieli Group, Ltd.		723		28,391
Bank Hapoalim BM		20,271		105,234
Bank Leumi Le-Israel BM†		25,440		91,364
Bezeq The Israeli Telecommunication Corp., Ltd.		37,819		85,329
Check Point Software Technologies, Ltd.†		1,291		112,924
Delek Group, Ltd.		88		15,097
Israel Chemicals, Ltd.		8,676		37,764
Israel Corp., Ltd.		50		8,404
Mizrahi Tefahot Bank, Ltd.		2,541		29,812
NICE-Systems, Ltd.		1,087		71,333
Taro Pharmaceutical Industries, Ltd.†		141		20,198
Teva Pharmaceutical Industries, Ltd.		17,380		937,884
				1,543,734
Italy — 2.2%
Assicurazioni Generali SpA		22,616		335,324
Atlantia SpA		8,054		223,342
Banca Monte dei Paschi di Siena SpA†		48,784		27,922
Banca Popolare di Milano Scarl		2,645,604		1,849,911
Banco Popolare SC†		7,053		48,515
Enel Green Power SpA		33,938		72,988
Enel SpA		135,949		603,006
Eni SpA		48,455		733,321

Security Description	Shares		Value (Note 2)
Italy (continued)
EXOR SpA		1,918	$	68,749
Finmeccanica SpA†		7,839		99,458
Intesa Sanpaolo SpA		3,190,100		8,835,455
Intesa Sanpaolo SpA RSP		18,008		46,843
Luxottica Group SpA		3,263		180,079
Mediobanca SpA		10,714		77,172
Moncler SpA		60,640		1,024,683
Prysmian SpA		3,966		89,852
Saipem SpA†		5,165		2,069
Snam SpA		40,408		253,121
Telecom Italia SpA†		217,881		235,035
Telecom Italia SpA RSP		1,077,814		944,362
Terna Rete Elettrica Nazionale SpA		28,719		163,887
UniCredit SpA		92,352		333,127
Unione di Banche Italiane SpA		16,605		61,446
UnipolSai SpA		17,730		41,036
				16,350,703
Japan — 20.0%
ABC-Mart, Inc.		500		32,032
Acom Co., Ltd.†		8,000		40,304
Aeon Co., Ltd.		12,500		180,594
AEON Financial Service Co., Ltd.		2,100		49,559
AEON MALL Co., Ltd.		2,100		31,105
Air Water, Inc.		3,000		44,409
Aisin Seiki Co., Ltd.		24,900		938,078
Ajinomoto Co., Inc.		11,000		248,207
Alfresa Holdings Corp.		3,400		65,224
Alps Electric Co., Ltd.		3,225		56,222
Amada Holdings Co., Ltd.		6,000		58,537
ANA Holdings, Inc.		21,000		59,168
Aozora Bank, Ltd.		21,000		73,331
Asahi Glass Co., Ltd.		18,000		98,521
Asahi Group Holdings, Ltd.		7,400		230,590
Asahi Kasei Corp.		200,000		1,352,170
Asics Corp.		3,000		53,445
Astellas Pharma, Inc.		257,900		3,429,271
Bandai Namco Holdings, Inc.		3,500		76,316
Bank of Kyoto, Ltd.		6,000		39,131
Bank of Yokohama, Ltd.(5)		21,000		97,028
Benesse Holdings, Inc.		1,200		34,546
Bridgestone Corp.		12,500		467,035
Brother Industries, Ltd.		4,800		55,189
Calbee, Inc.		1,400		55,604
Canon, Inc.		20,600		614,092
Casio Computer Co., Ltd.		3,900		78,697
Central Japan Railway Co.		13,600		2,405,331
Chiba Bank, Ltd.		14,000		69,785
Chubu Electric Power Co., Inc.		12,400		173,145
Chugai Pharmaceutical Co., Ltd.		4,300		133,151
Chugoku Bank, Ltd.		3,000		31,241
Chugoku Electric Power Co., Inc.		5,700		76,983
Citizen Holdings Co., Ltd.		5,000		28,344
Credit Saison Co., Ltd.		63,600		1,107,045
CyberAgent, Inc.		18,400		855,054
Dai Nippon Printing Co., Ltd.		11,000		97,739
Dai-ichi Life Insurance Co., Ltd.		20,400		246,968
Daicel Corp.		5,600		76,528

232

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Daihatsu Motor Co., Ltd.		3,600	$	50,732
Daiichi Sankyo Co., Ltd.		12,200		271,274
Daikin Industries, Ltd.		4,500		336,345
Daito Trust Construction Co., Ltd.		1,400		198,783
Daiwa House Industry Co., Ltd.		11,500		323,506
Daiwa Securities Group, Inc.		31,000		190,691
Denso Corp.		9,300		373,834
Dentsu, Inc.		4,100		205,829
Don Quijote Holdings Co., Ltd.		2,100		72,957
East Japan Railway Co.		6,500		560,971
Eisai Co., Ltd.		4,800		288,738
Electric Power Development Co., Ltd.		2,700		84,326
FamilyMart Co., Ltd.		1,200		62,375
FANUC Corp.		3,800		590,368
Fast Retailing Co., Ltd.		1,100		352,055
Fuji Electric Co., Ltd.		9,000		31,108
Fuji Heavy Industries, Ltd.		11,300		399,107
FUJIFILM Holdings Corp.		8,800		348,028
Fujitsu, Ltd.		35,000		129,557
Fukuoka Financial Group, Inc.		14,000		45,653
GungHo Online Entertainment, Inc.		7,700		21,688
Gunma Bank, Ltd.		8,000		33,053
Hachijuni Bank, Ltd.		7,000		30,166
Hakuhodo DY Holdings, Inc.		4,600		52,112
Hamamatsu Photonics KK		27,700		764,214
Hankyu Hanshin Holdings, Inc.		21,000		133,973
Hikari Tsushin, Inc.		300		22,844
Hino Motors, Ltd.		4,900		52,986
Hirose Electric Co., Ltd.		600		66,160
Hiroshima Bank, Ltd.		10,000		36,519
Hisamitsu Pharmaceutical Co., Inc.		1,000		44,693
Hitachi Chemical Co., Ltd.		1,900		34,186
Hitachi Construction Machinery Co., Ltd.		2,300		36,540
Hitachi High-Technologies Corp.		1,000		28,167
Hitachi Metals, Ltd.		4,100		42,295
Hitachi, Ltd.		93,000		435,149
Hokuhoku Financial Group, Inc.		23,000		30,246
Hokuriku Electric Power Co.		3,100		43,878
Honda Motor Co., Ltd.		114,900		3,150,574
Hoshizaki Electric Co., Ltd.		700		58,403
Hoya Corp.		8,200		311,913
Hulic Co., Ltd.		4,600		43,979
Ichigo, Inc.		1,104,168		4,562,070
Idemitsu Kosan Co., Ltd.		1,600		28,561
IHI Corp.		26,000		54,982
Iida Group Holdings Co., Ltd.		3,000		58,510
Inpex Corp.		358,900		2,721,766
Invincible Investment Corp.		5,006		3,754,111
Isetan Mitsukoshi Holdings, Ltd.		6,400		74,779
Isuzu Motors, Ltd.		11,300		116,670
ITOCHU Corp.		30,500		375,610
Itochu Techno-Solutions Corp.		800		15,098
Iyo Bank, Ltd.		4,600		30,123
J. Front Retailing Co., Ltd.		4,200		55,716
Japan Airlines Co., Ltd.		2,300		84,238

Security Description	Shares		Value (Note 2)
Japan (continued)
Japan Airport Terminal Co., Ltd.		700	$	24,879
Japan Exchange Group, Inc.		10,000		153,183
Japan Post Bank Co., Ltd.		7,800		95,988
Japan Post Holdings Co., Ltd.		8,700		116,108
Japan Prime Realty Investment Corp.		15		61,109
Japan Real Estate Investment Corp.		24		138,611
Japan Retail Fund Investment Corp.		46		110,438
Japan Tobacco, Inc.		21,200		883,451
JFE Holdings, Inc.		9,500		127,967
JGC Corp.		5,000		74,859
Joyo Bank, Ltd.		12,000		41,157
JSR Corp.		3,400		48,880
JTEKT Corp.		3,900		50,593
JX Holdings, Inc.		43,400		167,283
Kajima Corp.		17,000		106,642
Kakaku.com, Inc.		44,900		833,809
Kamigumi Co., Ltd.		5,000		47,048
Kaneka Corp.		6,000		51,393
Kansai Electric Power Co., Inc.†		13,600		120,442
Kansai Paint Co., Ltd.		4,000		64,259
Kao Corp.		9,600		512,051
Kawasaki Heavy Industries, Ltd.		27,000		77,969
KDDI Corp.		33,300		889,420
Keihan Electric Railway Co., Ltd.		10,000		70,461
Keikyu Corp.		8,000		70,372
Keio Corp.		10,000		87,787
Keisei Electric Railway Co., Ltd.		6,000		84,393
Kenedix Retail REIT Corp		497		1,205,129
Keyence Corp.		9,200		5,018,330
Kikkoman Corp.		4,000		131,503
Kintetsu Group Holdings Co., Ltd.		34,000		137,758
Kirin Holdings Co., Ltd.		104,500		1,465,201
Kobe Steel, Ltd.		59,000		51,899
Koito Manufacturing Co., Ltd.		12,500		566,440
Komatsu, Ltd.		17,600		299,628
Konami Holdings Corp.		1,800		53,259
Konica Minolta, Inc.		8,700		73,901
Kose Corp.		640		62,268
Kubota Corp.		22,000		300,351
Kuraray Co., Ltd.		6,500		79,470
Kurita Water Industries, Ltd.		1,800		41,056
Kyocera Corp.		6,100		268,672
Kyowa Hakko Kirin Co., Ltd.		4,000		63,832
Kyushu Electric Power Co., Inc.†		8,200		78,033
Kyushu Financial Group, Inc.		6,600		38,059
Lawson, Inc.		1,200		100,440
LIXIL Group Corp.		5,000		101,959
M3, Inc.		3,700		93,104
Mabuchi Motor Co., Ltd.		800		37,247
Makita Corp.		2,300		142,645
Marubeni Corp.		31,000		157,004
Marui Group Co., Ltd.		4,600		65,927
Maruichi Steel Tube, Ltd.		800		21,929
Mazda Motor Corp.		10,200		158,286
McDonald's Holdings Co. Japan, Ltd.		1,200		28,426
Medipal Holdings Corp.		2,600		41,168

233

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
MEIJI Holdings Co., Ltd.		2,300	$	184,948
Minebea Co., Ltd.		5,000		39,007
Miraca Holdings, Inc.		24,900		1,023,257
Mitsubishi Chemical Holdings Corp.		26,100		136,246
Mitsubishi Corp.		105,200		1,781,609
Mitsubishi Electric Corp.		331,000		3,468,964
Mitsubishi Estate Co., Ltd.		24,000		445,795
Mitsubishi Gas Chemical Co., Inc.		6,000		32,307
Mitsubishi Heavy Industries, Ltd.		58,000		215,468
Mitsubishi Logistics Corp.		2,000		26,265
Mitsubishi Materials Corp.		20,000		56,511
Mitsubishi Motors Corp.		105,700		791,729
Mitsubishi Tanabe Pharma Corp.		4,300		74,771
Mitsubishi UFJ Financial Group, Inc.		1,438,200		6,664,190
Mitsubishi UFJ Lease & Finance Co., Ltd.		224,600		985,849
Mitsui & Co., Ltd.		33,100		380,865
Mitsui Chemicals, Inc.		15,000		49,980
Mitsui Fudosan Co., Ltd.		43,000		1,072,851
Mitsui OSK Lines, Ltd.		20,000		40,695
Mixi, Inc.		700		25,998
Mizuho Financial Group, Inc.		449,600		671,534
MS&AD Insurance Group Holdings, Inc.		9,600		267,498
Murata Manufacturing Co., Ltd.		3,800		458,181
Nabtesco Corp.		2,100		47,133
Nagoya Railroad Co., Ltd.		16,000		74,779
NEC Corp.		49,000		123,213
Nexon Co., Ltd.		2,500		42,627
NGK Insulators, Ltd.		5,000		92,363
NGK Spark Plug Co., Ltd.		222,512		4,258,660
NH Foods, Ltd.		4,000		88,143
NHK Spring Co., Ltd.		2,900		27,752
Nidec Corp.		4,100		280,546
Nikon Corp.		6,500		99,454
Nintendo Co., Ltd.		2,000		284,331
Nippon Building Fund, Inc.		26		154,089
Nippon Electric Glass Co., Ltd.		8,000		40,944
Nippon Express Co., Ltd.		15,000		68,239
Nippon Paint Holdings Co., Ltd.		3,000		66,560
Nippon Prologis REIT, Inc.		28		62,670
Nippon Steel & Sumitomo Metal Corp.		14,400		276,625
Nippon Telegraph & Telephone Corp.		306,600		13,207,133
Nippon Yusen KK		243,000		468,533
Nissan Motor Co., Ltd.		47,200		436,792
Nisshin Seifun Group, Inc.		3,900		61,994
Nissin Foods Holdings Co., Ltd.		1,200		56,404
Nitori Holdings Co., Ltd.		1,400		128,251
Nitto Denko Corp.		3,100		172,346
NOK Corp.		1,800		30,740
Nomura Holdings, Inc.		68,900		307,875
Nomura Real Estate Holdings, Inc.		2,600		48,052
Nomura Real Estate Master Fund, Inc.		67		100,013
Nomura Research Institute, Ltd.		2,200		74,086

Security Description	Shares		Value (Note 2)
Japan (continued)
NSK, Ltd.		9,000	$	82,367
NTT Data Corp.		2,400		120,485
NTT DOCOMO, Inc.		27,600		625,963
NTT Urban Development Corp.		2,400		23,479
Obayashi Corp.		12,000		118,353
OBIC Co., Ltd.		1,300		68,728
Odakyu Electric Railway Co., Ltd.		12,000		130,614
Oji Holdings Corp.		15,000		60,243
Olympus Corp.		5,200		202,141
Omron Corp.		3,700		110,134
Ono Pharmaceutical Co., Ltd.		7,500		317,540
Oracle Corp. Japan		800		44,924
Oriental Land Co., Ltd.		3,900		276,183
ORIX Corp.		25,100		358,062
Osaka Gas Co., Ltd.		35,000		134,471
Otsuka Corp.		1,100		58,057
Otsuka Holdings Co., Ltd.		7,500		272,424
Panasonic Corp.		168,300		1,545,498
Park24 Co., Ltd.		1,700		47,581
Rakuten, Inc.		18,000		173,611
Recruit Holdings Co., Ltd.		23,700		723,351
Resona Holdings, Inc.		42,800		152,725
Ricoh Co., Ltd.		14,000		142,556
Rinnai Corp.		600		52,992
Rohm Co., Ltd.		1,800		75,810
Ryohin Keikaku Co., Ltd.		420		88,818
Sankyo Co., Ltd.		800		29,784
Sanrio Co., Ltd.		800		15,645
Santen Pharmaceutical Co., Ltd.		7,100		106,804
Sawai Pharmaceutical Co., Ltd.		36,600		2,292,683
SBI Holdings, Inc.		4,200		42,655
Secom Co., Ltd.		3,900		289,905
Sega Sammy Holdings, Inc.		3,600		39,248
Seibu Holdings, Inc.		288,488		6,103,247
Seiko Epson Corp.		5,400		87,229
Sekisui Chemical Co., Ltd.		287,900		3,545,510
Sekisui House, Ltd.		11,500		194,093
Seven & i Holdings Co., Ltd.		48,500		2,065,058
Seven Bank, Ltd.		520,803		2,221,204
Shikoku Electric Power Co., Inc.		3,400		45,587
Shimadzu Corp.		4,000		62,730
Shimamura Co., Ltd.		400		49,936
Shimano, Inc.		1,500		235,106
Shimizu Corp.		10,000		84,766
Shin-Etsu Chemical Co., Ltd.		7,900		408,811
Shinsei Bank, Ltd.		35,000		45,715
Shionogi & Co., Ltd.		5,800		272,981
Shiseido Co., Ltd.		6,900		154,008
Shizuoka Bank, Ltd.		10,000		72,149
Showa Shell Sekiyu KK		3,600		32,307
SMC Corp.		4,400		1,021,956
SoftBank Group Corp.		40,400		1,926,220
Sohgo Security Services Co., Ltd.		1,100		59,621
Sompo Japan Nipponkoa Holdings, Inc.		6,300		178,457
Sony Corp.		52,100		1,339,245
Sony Financial Holdings, Inc.		17,900		228,710

234

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PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Stanley Electric Co., Ltd.		2,700	$	61,056
Sumco Corp.		293,286		1,845,009
Sumitomo Chemical Co., Ltd.		28,000		126,634
Sumitomo Corp.		206,800		2,055,229
Sumitomo Dainippon Pharma Co., Ltd.		3,000		34,546
Sumitomo Electric Industries, Ltd.		14,700		178,811
Sumitomo Heavy Industries, Ltd.		9,000		37,185
Sumitomo Metal Mining Co., Ltd.		166,000		1,648,274
Sumitomo Mitsui Financial Group, Inc.		24,200		733,666
Sumitomo Mitsui Trust Holdings, Inc.		658,000		1,927,023
Sumitomo Realty & Development Co., Ltd.		6,000		175,610
Sumitomo Rubber Industries, Ltd.		64,900		1,002,809
Suntory Beverage & Food, Ltd.		2,600		117,126
Suruga Bank, Ltd.		3,000		52,726
Suzuken Co., Ltd.		1,400		47,581
Suzuki Motor Corp.		56,900		1,522,288
Sysmex Corp.		2,700		168,892
T&D Holdings, Inc.		11,100		103,509
Taiheiyo Cement Corp.		21,000		48,327
Taisei Corp.		19,000		125,603
Taisho Pharmaceutical Holdings Co., Ltd.		500		39,629
Taiyo Nippon Sanso Corp.		3,000		28,469
Takashimaya Co., Ltd.		5,000		41,806
Takeda Pharmaceutical Co., Ltd.		47,500		2,167,666
TDK Corp.		2,300		127,727
Teijin, Ltd.		17,000		59,212
Terumo Corp.		5,900		211,529
THK Co., Ltd.		66,200		1,221,122
Tobu Railway Co., Ltd.		18,000		89,724
Toho Co., Ltd.		2,000		52,619
Toho Gas Co., Ltd.		7,000		49,696
Tohoku Electric Power Co., Inc.		8,600		110,953
Tokio Marine Holdings, Inc.		64,600		2,181,172
Tokyo Electric Power Co., Inc.†		28,400		156,201
Tokyo Electron, Ltd.		21,700		1,414,467
Tokyo Gas Co., Ltd.		45,000		209,796
Tokyo Tatemono Co., Ltd.		3,500		43,600
Tokyu Corp.		20,000		167,577
Tokyu Fudosan Holdings Corp.		9,300		63,132
TonenGeneral Sekiyu KK		6,000		54,272
Toppan Printing Co., Ltd.		9,000		75,490
Toray Industries, Inc.		27,000		230,116
Toshiba Corp.		77,000		149,833
Tosoh Corp.		58,000		243,760
Toto, Ltd.		2,700		84,206
Toyo Seikan Group Holdings, Ltd.		3,000		56,191
Toyo Suisan Kaisha, Ltd.		1,600		57,435
Toyoda Gosei Co., Ltd.		1,200		23,159
Toyota Industries Corp.		3,000		134,879
Toyota Motor Corp.		89,800		4,749,119
Toyota Tsusho Corp.		4,100		92,641
Trend Micro, Inc.		1,900		69,554

Security Description	Shares		Value (Note 2)
Japan (continued)
Unicharm Corp.		7,100	$	154,497
United Urban Investment Corp.		48		77,580
USS Co., Ltd.		4,100		65,501
West Japan Railway Co.		3,000		185,233
Yahoo Japan Corp.		454,300		1,933,535
Yakult Honsha Co., Ltd.		1,600		70,869
Yamada Denki Co., Ltd.		12,900		60,978
Yamaguchi Financial Group, Inc.		3,000		27,269
Yamaha Corp.		3,100		93,376
Yamaha Motor Co., Ltd.		5,200		86,493
Yamato Holdings Co., Ltd.		6,600		131,771
Yamazaki Baking Co., Ltd.		2,000		42,134
Yaskawa Electric Corp.		4,600		53,093
Yokogawa Electric Corp.		4,000		41,335
Yokohama Rubber Co., Ltd.		1,500		24,670
				151,025,739
Jersey — 2.0%
Experian PLC		18,463		330,142
Glencore PLC		232,791		525,926
Kennedy Wilson Europe Real Estate PLC		302,239		5,083,200
Petrofac, Ltd.		5,028		66,510
Randgold Resources, Ltd.		1,706		156,080
Shire PLC		39,723		2,258,694
Shire PLC ADR		8,000		1,375,200
Wolseley PLC		5,058		286,151
WPP PLC		211,799		4,949,271
				15,031,174
Luxembourg — 1.2%
ArcelorMittal		19,395		87,726
L'Occitane International SA		1,313,730		2,340,458
Millicom International Cellular SA SDR		1,275		69,685
RTL Group SA		730		61,835
Samsonite International SA		1,794,500		6,014,554
SES SA FDR		5,848		171,252
Tenaris SA		9,185		114,445
				8,859,955
Mauritius — 0.0%
Golden Agri-Resources, Ltd.		135,000		41,065
Mexico — 0.3%
America Movil SAB de CV, Series L ADR		57,800		897,634
Cemex SAB de CV ADR (Participation Certificate)†		158,676		1,155,161
				2,052,795
Netherlands — 2.4%
Aegon NV		35,142		193,302
AerCap Holdings NV†		1,683		65,233
Airbus Group SE		11,229		745,566
Akzo Nobel NV		4,772		325,261
Altice NV, Class A†		7,008		124,879
Altice NV, Class B†		1,687		30,397
ASML Holding NV		21,436		2,177,720

235

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Netherlands (continued)
Boskalis Westminster NV		1,668	$	65,567
CNH Industrial NV		17,898		121,688
Ferrari NV†		1,747		72,559
Fiat Chrysler Automobiles NV		17,474		141,174
Gemalto NV		1,534		113,408
Heineken Holding NV		1,970		153,733
Heineken NV		4,468		404,951
ING Groep NV CVA		601,100		7,270,830
Koninklijke Ahold NV		15,890		357,466
Koninklijke DSM NV		3,327		182,986
Koninklijke KPN NV		62,237		260,828
Koninklijke Philips NV		91,367		2,602,801
Koninklijke Vopak NV		1,364		67,927
Mobileye NV†		1,543		57,538
NN Group NV		4,496		147,111
NXP Semiconductors NV†		2,580		209,161
OCI NV†		1,630		31,921
QIAGEN NV†		4,193		93,420
Randstad Holding NV		2,449		135,741
RELX NV		18,930		330,538
STMicroelectronics NV		12,402		68,840
TNT Express NV		8,457		75,889
Unilever NV CVA		31,041		1,391,139
Wolters Kluwer NV		5,865		234,116
				18,253,690
New Zealand — 0.1%
Auckland International Airport, Ltd.		17,770		78,977
Contact Energy, Ltd.		13,797		47,682
Fletcher Building, Ltd.		13,369		72,909
Meridian Energy, Ltd.		24,555		44,468
Mighty River Power, Ltd.		13,436		27,118
Ryman Healthcare, Ltd.		7,481		43,177
Spark New Zealand, Ltd.		36,182		91,283
				405,614
Norway — 0.8%
DNB ASA		227,520		2,690,470
Gjensidige Forsikring ASA		3,836		65,412
Norsk Hydro ASA		26,193		107,846
Orkla ASA		15,906		144,072
Schibsted ASA		1,446		42,272
Schibsted ASA, Class B†		1,689		46,763
Statoil ASA		124,038		1,953,201
Storebrand ASA†		251,556		982,852
Telenor ASA		14,588		236,061
Yara International ASA		3,496		131,564
				6,400,513
Papua New Guinea — 0.0%
Oil Search, Ltd.		26,044		134,957
Portugal — 0.0%
Banco Comercial Portugues SA†		682,574		27,728
Banco Espirito Santo SA†(2)		59,101		4,035
EDP - Energias de Portugal SA		45,029		160,171

Security Description	Shares		Value (Note 2)
Portugal (continued)
Galp Energia SGPS SA		7,549	$	94,920
Jeronimo Martins SGPS SA		4,878		79,819
				366,673
Singapore — 1.4%
Ascendas Real Estate Investment Trust		39,000		69,155
Broadcom, Ltd.		14,000		2,163,000
CapitaLand Commercial Trust, Ltd.		40,000		43,625
CapitaLand Mall Trust		46,000		71,328
CapitaLand, Ltd.		49,000		111,607
City Developments, Ltd.		7,000		42,431
ComfortDelGro Corp., Ltd.		38,000		82,324
DBS Group Holdings, Ltd.		207,600		2,368,875
Global Logistic Properties, Ltd.		62,000		88,548
Hutchison Port Holdings Trust		108,000		54,000
Jardine Cycle & Carriage, Ltd.		2,000		59,398
Keppel Corp., Ltd.		28,500		123,274
Oversea-Chinese Banking Corp., Ltd.		57,000		373,840
Sembcorp Industries, Ltd.		177,400		397,483
Sembcorp Marine, Ltd.		16,000		19,587
Singapore Airlines, Ltd.		9,000		76,255
Singapore Exchange, Ltd.		16,000		94,373
Singapore Press Holdings, Ltd.		28,000		83,095
Singapore Technologies Engineering, Ltd.		28,000		67,099
Singapore Telecommunications, Ltd.		153,000		431,354
StarHub, Ltd.		10,000		24,854
Suntec Real Estate Investment Trust		47,000		58,408
United Overseas Bank, Ltd.		122,600		1,716,409
UOL Group, Ltd.		9,000		40,064
Wilmar International, Ltd.		595,600		1,484,747
Yangzijiang Shipbuilding Holdings, Ltd.		39,000		28,356
				10,173,489
South Korea — 0.5%
KT Corp.		42,106		1,097,201
NAVER Corp.		974		542,531
Samsung Electronics Co., Ltd.		2,137		2,451,682
				4,091,414
Spain — 1.2%
Abertis Infraestructuras SA		9,798		161,105
Acerinox SA		47,864		554,448
ACS Actividades de Construccion y Servicios SA		3,420		101,922
Aena SA†*		1,307		168,727
Amadeus IT Holding SA, Class A		8,339		357,638
Banco Bilbao Vizcaya Argentaria SA		121,181		805,564
Banco de Sabadell SA		94,464		170,050
Banco Popular Espanol SA		34,945		90,940
Banco Santander SA		274,903		1,211,834
Bankia SA		89,522		84,550
Bankinter SA		13,057		92,265
CaixaBank SA		50,446		149,074
Distribuidora Internacional de Alimentacion SA		11,994		62,317
Enagas SA		3,925		117,976
Endesa SA		6,081		116,733

236

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Spain (continued)
Ferrovial SA		8,543	$	183,583
Gas Natural SDG SA		6,781		137,115
Grifols SA		5,808		129,337
Iberdrola SA		102,593		684,216
Industria de Diseno Textil SA		20,721		697,096
International Consolidated Airlines Group SA		15,906		126,877
Mapfre SA		18,071		39,049
Red Electrica Corp. SA		2,094		181,805
Repsol SA		20,301		229,157
Telefonica SA		226,086		2,534,557
Zardoya Otis SA		3,294		38,345
				9,226,280
Sweden — 2.1%
Alfa Laval AB		5,512		90,234
Assa Abloy AB, Class B		19,479		384,385
Atlas Copco AB, Class A		13,037		328,083
Atlas Copco AB, Class B		7,576		178,616
Boliden AB		5,308		84,933
Electrolux AB, Series B		4,694		123,504
Elekta AB, Series B		86,181		643,843
Getinge AB, Class B		3,904		89,975
Hennes & Mauritz AB, Class B		18,035		601,370
Hexagon AB, Class B		47,917		1,865,152
Husqvarna AB, Class B		7,943		58,069
ICA Gruppen AB		1,502		49,695
Industrivarden AB, Class C		3,192		54,417
Investment AB Kinnevik, Class B		4,577		129,841
Investor AB, Class B		8,885		314,544
Lundin Petroleum AB†		4,201		71,153
Nordea Bank AB		266,811		2,563,515
Sandvik AB		20,732		214,515
Securitas AB, Class B		6,016		99,671
Skandinaviska Enskilda Banken AB, Class A		29,630		283,042
Skanska AB, Class B		7,393		168,746
SKF AB, Class B		7,651		138,162
Svenska Cellulosa AB SCA, Class B		11,464		358,257
Svenska Handelsbanken AB, Class A		201,992		2,570,231
Swedbank AB, Class A		84,492		1,820,300
Swedish Match AB		3,912		132,806
Tele2 AB, Class B		6,095		56,534
Telefonaktiebolaget LM Ericsson, Class B		201,220		2,015,113
TeliaSonera AB		50,662		263,162
Volvo AB, Class B		29,875		327,886
				16,079,754
Switzerland — 8.4%
ABB, Ltd.		111,581		2,174,643
Actelion, Ltd.†		13,212		1,974,483
Adecco SA		3,147		205,044
Aryzta AG		1,694		70,170
Baloise Holding AG		925		117,555
Barry Callebaut AG		43		46,732

Security Description	Shares		Value (Note 2)
Switzerland (continued)
Chocoladefabriken Lindt & Spruengli AG		1	$	74,869
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate)		18		111,570
Cie Financiere Richemont SA		88,328		5,837,704
Coca-Cola HBC AG		3,878		82,433
Credit Suisse Group AG		79,153		1,120,350
Dufry AG†		780		95,964
EMS-Chemie Holding AG		160		82,949
Galenica AG		74		111,283
GAM Holding AG		72,957		1,054,654
Geberit AG		15,239		5,694,319
Givaudan SA		178		349,132
Julius Baer Group, Ltd.		4,349		186,796
Kuehne & Nagel International AG		1,047		148,848
LafargeHolcim, Ltd.†		8,050		378,661
Lonza Group AG†		1,027		173,775
Nestle SA		148,517		11,097,651
Novartis AG		106,598		7,726,983
Panalpina Welttransport Holding AG		46,155		5,155,267
Pargesa Holding SA		602		38,347
Partners Group Holding AG		303		121,792
Roche Holding AG		31,625		7,784,970
Schindler Holding AG(Participation Certificate)(SIX)		855		157,653
Schindler Holding AG(AGXE)		384		70,326
SGS SA		1,403		2,964,896
Sika AG†		40		158,328
Sonova Holding AG		4,694		599,473
Sulzer AG		257		25,525
Swatch Group AG(XEGT)		602		208,545
Swatch Group AG(TRQX)		978		65,858
Swiss Life Holding AG		621		165,139
Swiss Prime Site AG		1,226		108,122
Swiss Re AG		6,690		618,523
Swisscom AG		498		270,610
Syngenta AG		1,767		735,063
UBS Group AG		279,356		4,500,259
Zurich Insurance Group AG		2,865		665,337
				63,330,601
Taiwan — 0.9%
Taiwan Semiconductor Manufacturing Co., Ltd.		1,345,000		6,770,134
United Arab Emirates — 0.0%
Orascom Construction, Ltd.†		742		4,385
United Kingdom — 19.6%
3i Group PLC		18,973		124,369
Aberdeen Asset Management PLC		17,950		71,516
Admiral Group PLC		3,804		108,341
Aggreko PLC		5,006		77,435
Amec Foster Wheeler PLC		7,584		49,016
Anglo American PLC		27,143		215,231
Antofagasta PLC		82,885		558,790
ARM Holdings PLC		283,141		4,123,543
Ashtead Group PLC		9,762		121,139
Associated British Foods PLC		61,795		2,972,339

237

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
United Kingdom (continued)
AstraZeneca PLC		24,059	$	1,348,498
Auto Trader Group PLC*		523,136		2,930,279
Aviva PLC		351,913		2,305,288
Babcock International Group PLC		4,789		65,309
BAE Systems PLC		61,414		448,968
Barclays PLC		319,820		689,012
Barclays PLC ADR		65,500		564,610
Barratt Developments PLC		19,118		153,903
BHP Billiton PLC		129,101		1,451,477
BP PLC		348,304		1,751,630
British American Tobacco PLC		79,179		4,651,180
British Land Co. PLC		18,885		190,001
BT Group PLC		159,228		1,007,384
Bunzl PLC		6,446		187,291
Burberry Group PLC		55,841		1,094,752
Capita PLC		12,855		192,384
Carnival PLC		3,567		192,219
Centrica PLC		95,776		313,220
Close Brothers Group PLC		18,063		327,400
Cobham PLC		22,076		68,835
Compass Group PLC		160,442		2,829,738
Croda International PLC		2,652		115,753
CYBG PLC†		12,594		37,714
Diageo PLC		365,293		9,871,323
Direct Line Insurance Group PLC		358,758		1,907,514
Dixons Carphone PLC		18,998		116,320
easyJet PLC		3,090		67,413
Fresnillo PLC		4,342		59,400
G4S PLC		30,240		82,782
GKN PLC		481,581		1,997,544
GlaxoSmithKline PLC		92,531		1,876,514
GlaxoSmithKline PLC ADR		29,200		1,184,060
Hammerson PLC		15,439		128,278
Hargreaves Lansdown PLC		4,592		88,640
HSBC Holdings PLC		372,134		2,319,096
ICAP PLC		10,605		72,319
IMI PLC		5,325		72,847
Imperial Brands PLC		18,395		1,020,597
Indivior PLC		1,045,523		2,449,161
Informa PLC		59,182		589,901
Inmarsat PLC		8,225		116,300
InterContinental Hotels Group PLC		4,567		188,319
Intertek Group PLC		3,157		143,599
Intu Properties PLC		17,777		79,916
Investec PLC		10,771		79,283
ITV PLC		74,470		257,981
J Sainsbury PLC		24,324		96,526
Johnson Matthey PLC		3,771		148,618
Kingfisher PLC		395,750		2,141,146
Land Securities Group PLC		15,288		241,751
Legal & General Group PLC		113,015		381,771
Liberty Global PLC, Class A†		176,079		6,779,042
Lloyds Banking Group PLC		7,886,953		7,705,054
London Stock Exchange Group PLC		24,589		995,909
Lonmin PLC†		20		38

Security Description	Shares		Value (Note 2)
United Kingdom (continued)
Marks & Spencer Group PLC		216,787	$	1,264,745
Meggitt PLC		15,522		90,645
Melrose Industries PLC		2,805		14,362
Merlin Entertainments PLC*		460,395		3,064,856
Mondi PLC		7,072		135,700
National Grid PLC		256,680		3,639,376
Next PLC		2,816		218,402
Old Mutual PLC		95,528		264,937
Pearson PLC		15,879		199,554
Persimmon PLC		69,574		2,083,449
Provident Financial PLC		2,777		118,258
Prudential PLC		297,511		5,559,172
Reckitt Benckiser Group PLC		93,483		9,036,027
RELX PLC		21,332		396,457
Rexam PLC		13,791		125,578
Rio Tinto PLC		23,847		669,763
Rolls-Royce Holdings PLC		182,853		1,791,085
Royal Bank of Scotland Group PLC†		317,519		1,015,593
Royal Dutch Shell PLC, Class A(CHIX)		171,028		4,153,036
Royal Dutch Shell PLC, Class A (TRQX)		74,555		1,803,220
Royal Dutch Shell PLC, Class B ADR		65,300		3,212,107
Royal Dutch Shell PLC, Class B		75,321		1,839,055
Royal Mail PLC		17,054		117,742
RSA Insurance Group PLC		296,251		2,024,057
SABMiller PLC		69,044		4,220,436
Sage Group PLC		20,782		187,745
Schroders PLC		2,447		94,294
Segro PLC		14,257		84,016
Severn Trent PLC		4,625		144,345
Sky PLC		170,043		2,500,855
Smith & Nephew PLC		17,349		286,053
Smiths Group PLC		7,731		119,475
Sports Direct International PLC†		5,208		28,282
SSE PLC		81,221		1,740,472
St James's Place PLC		10,025		132,249
Standard Chartered PLC		170,245		1,155,452
Standard Life PLC		38,010		194,402
Tate & Lyle PLC		9,174		76,158
Taylor Wimpey PLC		62,667		171,280
Tesco PLC†		539,622		1,486,511
Travis Perkins PLC		4,804		126,058
Tullow Oil PLC†		18,357		51,913
Unilever PLC		139,900		6,334,358
United Utilities Group PLC		13,189		174,841
Vodafone Group PLC		2,038,702		6,476,922
Vodafone Group PLC ADR		89,400		2,865,270
Weir Group PLC		4,145		65,962
Whitbread PLC		3,526		200,543
William Hill PLC		16,880		79,278
WM Morrison Supermarkets PLC		40,410		115,323
Worldpay Group PLC†*		364,824		1,441,464
				147,988,659

238

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares/ Principal Amount			Value (Note 2)
COMMON STOCKS (continued)
United States — 0.1%
Autoliv, Inc. SDR		7,964		$	946,665
Total Common Stocks (cost $754,735,080)					720,718,317
EXCHANGE-TRADED FUNDS — 1.1%
iShares MSCI EAFE Index Fund (cost $8,257,355)		141,140			8,063,328
Total Long-Term Investment Securities (cost $762,992,435)					728,781,645
SHORT-TERM INVESTMENT SECURITIES — 1.1%
Commercial Paper — 1.0%
BNP Paribas SA NY 0.24% due 04/01/2016	$	7,400,000			7,400,000
Registered Investment Companies — 0.1%
State Street Institutional U.S. Government Money Market Fund 0.24%(4)		616,804			616,804
T. Rowe Price Reserve Investment Fund 0.33%(4)		1,393			1,393
Total Registered Investment Companies (cost $618,197)					618,197
Total Short-Term Investment Securities (cost $8,018,197)					8,018,197
REPURCHASE AGREEMENTS — 2.0%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 03/31/2016, to be repurchased 4/01/2016 in the amount $978,000 collateralized by $910,000 of United States Treasury Notes, bearing interest at 3.13% due 05/15/2021 and having an approximate value of $1,002,603		978,000			978,000
State Street Bank and Trust Co. Joint Repurchase Agreement(1)		14,449,000			14,449,000
Total Repurchase Agreements (cost $15,427,000)					15,427,000
TOTAL INVESTMENTS (cost $786,437,632)(6)		99.8	%		752,226,842
Other assets less liabilities		0.2			1,527,249
NET ASSETS		100.0	%	$	753,754,091

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2016, the aggregate value of these securities was $8,682,731 representing 1.2% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  See Note 2 for details of Joint Repurchase Agreements.

(2)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(3)  Illiquid security. At March 31, 2016 the aggregate value of these securities was $0 representing 0.0% of net assets.

(4)  The rate shown is the 7-day yield as of March 31, 2016

(5)  Fair valued security. Securities are classified as Level 2 based on the securities valuation inputs; see Note 2.

(6)  See Note 4 for cost of investments on a tax basis.

ADR — American Depositary Receipt

AQXE — Equis Exchange

CDI — Chess Depositary Interest

CHIX — Chi X Europe Exchange

CVA — Certification Van Aandelen (Dutch Cert.)

Euronext — Euro Stock Exchange, Amsterdam

FDR — Federal Depositary Receipt

RSP — Risparmio Shares-Savings Shares on the Italian Stock Exchange

SDR — Swedish Depositary Receipt

SIX — Swiss Stock Exchange

TRQX — Turquoise Stock Exchange

XEGT — Equiduct Stock Exchange

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	224	Long	E-mini MSCI EAFE Index	June 2016	$	18,043,012	$	18,205,600	$	162,588

239

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Australia	$	30,103,053	$	75,567	$	0	$	30,178,620
Japan		150,928,711		97,028		—		151,025,739
Portugal		362,638		—		4,035		366,673
Other Countries		539,147,285		—		—		539,147,285
Exchange-Traded Funds		8,063,328		—		—		8,063,328
Short-Term Investment Securities:
Commercial Paper		—		7,400,000		—		7,400,000
Registered Investment Companies		618,197		—		—		618,197
Repurchase Agreements		—		15,427,000		—		15,427,000
Total Investments at Value	$	729,223,212	$	22,999,595	$	4,035	$	752,226,842
Other Financial Instruments:†
Futures Contracts	$	162,588	$	—	$	—	$	162,588

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $650,884,308 were transferred from Level 2 to Level 1 due to foreign equity securities whose value were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

240

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
United States Treasury Notes	30.9	%
Federal National Mtg. Assoc.	17.4
Diversified Financial Services	11.7
United States Treasury Bonds	6.9
Diversified Banking Institutions	5.9
Federal Home Loan Mtg. Corp.	5.8
Government National Mtg. Assoc.	2.6
Repurchase Agreements	2.6
Banks-Commercial	2.5
Cable/Satellite TV	1.6
Electric-Integrated	1.6
Telephone-Integrated	1.6
Brewery	1.2
Real Estate Investment Trusts	1.1
Oil Companies-Integrated	1.1
Auto-Cars/Light Trucks	1.0
Banks-Super Regional	1.0
Sovereign	0.9
Oil Companies-Exploration & Production	0.9
Pipelines	0.8
Medical-Drugs	0.8
Medical-HMO	0.7
Medical-Generic Drugs	0.5
Municipal Bonds & Notes	0.5
Multimedia	0.5
Retail-Drug Store	0.5
Banks-Fiduciary	0.4
Transport-Rail	0.4
Insurance-Multi-line	0.3
Tobacco	0.3
Federal Home Loan Bank	0.3
Insurance Brokers	0.3
Retail-Building Products	0.3
Finance-Credit Card	0.3
Networking Products	0.3
Insurance-Life/Health	0.3
Insurance-Property/Casualty	0.3
Aerospace/Defense-Equipment	0.3
Applications Software	0.2
Aerospace/Defense	0.2
Medical Products	0.2
Transport-Services	0.2
Electric-Generation	0.2
Medical-Biomedical/Gene	0.2
Food-Misc./Diversified	0.2
Finance-Consumer Loans	0.2
Insurance-Mutual	0.2
Computers	0.2
Computer Services	0.2
Retail-Discount	0.2
Medical Instruments	0.2
Gas-Distribution	0.2
Agricultural Chemicals	0.2
Cellular Telecom	0.2
Retail-Restaurants	0.1
Retail-Auto Parts	0.1
Finance-Other Services	0.1
Paper & Related Products	0.1
Savings & Loans/Thrifts	0.1
Trucking/Leasing	0.1

Real Estate Operations & Development	0.1	%
Diagnostic Equipment	0.1
Diversified Manufacturing Operations	0.1
Food-Confectionery	0.1
Diversified Operations	0.1
Electric-Distribution	0.1
Data Processing/Management	0.1
Television	0.1
Medical Labs & Testing Services	0.1
Medical-Wholesale Drug Distribution	0.1
Building Societies	0.1
Containers-Paper/Plastic	0.1
Beverages-Non-alcoholic	0.1
Investment Management/Advisor Services	0.1
Electronic Components-Semiconductors	0.1
Medical-Hospitals	0.1
Oil-Field Services	0.1
Commercial Services	0.1
Enterprise Software/Service	0.1
Advertising Agencies	0.1
Non-Hazardous Waste Disposal	0.1
Metal-Diversified	0.1
Oil Refining & Marketing	0.1
Machinery-General Industrial	0.1
Semiconductor Components-Integrated Circuits	0.1
Machinery-Farming	0.1
Internet Connectivity Services	0.1
Food-Wholesale/Distribution	0.1
Advertising Services	0.1
Professional Sports	0.1
Central Bank	0.1
Metal Processors & Fabrication	0.1
Retail-Pet Food & Supplies	0.1
Telecom Services	0.1
	113.6	%
Credit Quality†#
Aaa	63.3	%
Aa	2.2
A	8.9
Baa	14.0
Ba	3.4
B	1.2
Caa	0.8
Ca	0.3
Not Rated@	5.9
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

#  Calculated as a percentage of total debt issues, excluding short-term securities.

@  Represents debt issues that either have no rating, or the rating is unavailable from the data source.

241

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES — 11.6%
Diversified Financial Services — 11.6%
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 0.70% due 11/25/2035(1)	$	268,792	$	241,886
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6a21 0.93% due 01/25/2036(1)		176,802		150,921
Alternative Loan Trust FRS Series 2006-29T1, Class 1A4 0.83% due 10/25/2036(1)		289,256		197,331
Alternative Loan Trust Series 2005-64CB, Class 3A1 5.50% due 12/25/2035(1)		265,639		228,137
American Express Credit Account Master Trust Series 2014-3, Class A 1.49% due 04/15/2020		219,000		220,269
American Home Mtg. Assets Trust FRS Series 2006-2, Class 2A1 0.62% due 09/25/2046(1)		214,082		145,293
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 1.29% due 10/25/2046(1)		77,774		54,058
AmeriCredit Automobile Receivables Trust Series 2015-2, Class C 2.40% due 01/08/2021		178,000		178,151
AmeriCredit Automobile Receivables Trust Series 2013-3, Class D 3.00% due 07/08/2019		160,000		162,449
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 2.07% due 07/27/2026*(2)		1,190,000		1,179,588
Apidos CLO XVI FRS Series 2013-16A, Class A1 2.07% due 01/19/2025*(2)		795,000		789,268
Apidos CLO XX FRS Series 2015-20A, Class A1 2.17% due 01/16/2027*(2)		1,305,000		1,300,433
Apidos CLO XXI FRS Series 2015-21A, Class A1 2.05% due 07/18/2027*(2)		1,500,000		1,483,605
Applebee's Funding LLC/IHOP Funding LLC Series 2014-1, Class A2 4.28% due 09/05/2044*		4,000		3,984
Ares XXIX CLO, Ltd. FRS Series 2014-1A, Class A1 2.14% due 04/17/2026*(2)		1,215,000		1,208,961
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.47% due 04/20/2023*(2)		877,115		873,423
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.01% due 10/25/2034		215,482		199,868

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Financial Services (continued)
Atlas Senior Loan Fund V, Ltd. FRS Series 2014-1A, Class A 2.17% due 07/16/2026*(2)	$	540,000	$	535,275
Atlas Senior Loan Fund VI, Ltd. FRS Series 2014-6A, Class A 2.16% due 10/15/2026*(2)		1,705,000		1,694,037
Atrium VII FRS Series 7AR, Class BR 2.37% due 11/16/2022*(2)		505,000		498,107
Atrium XI FRS Series 11-A, Class B 2.77% due 10/23/2025*(2)		1,520,000		1,503,675
Avalon IV Capital, Ltd. FRS Series 2012-1AR, Class BR 2.47% due 04/17/2023*(2)		485,000		480,785
Aventura Mall Trust VRS Series 2013-AVM, Class A 3.74% due 12/05/2032*(3)		1,425,000		1,525,706
Avery Point IV CLO, Ltd. FRS Series 2014-1A, Class A 2.14% due 04/25/2026*(2)		1,205,000		1,197,903
B2R Mtg. Trust Series 2015-1, Class A1 2.52% due 05/15/2048*		147,534		143,288
BA Credit Card Trust Series 2015-A2, Class A 1.36% due 09/15/2020		191,000		191,649
Babson CLO, Ltd. FRS Series 2014-IA, Class A1 2.11% due 07/20/2025*(2)		295,000		292,776
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.74% due 02/10/2051(3)		732,229		758,907
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 0.49% due 01/25/2037(1)		22,194		14,018
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 0.66% due 02/20/2047(1)		540,019		440,454
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(3)		1,155,000		1,178,421
BCAP LLC Trust FRS Series 2006-AA2, Class A1 0.60% due 01/25/2037(1)		29,695		23,448
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 11A1 2.73% due 02/25/2036(1)		93,566		71,231
Bear Stearns ALT-A Trust FRS Series 2006-3, Class 1A1 0.81% due 05/25/2036(1)		145,310		118,715
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 0.91% due 02/25/2036(1)		82,476		66,122

242

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 0.93% due 01/25/2036(1)	$	249,006	$	197,010
Bear Stearns ALT-A Trust FRS Series 2005-9, Class 11A1 0.95% due 11/25/2035(1)		123,912		102,318
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-T26, Class A4 5.47% due 01/12/2045(3)		26,415		27,040
Bear Stearns Mtg. Funding Trust FRS Series 2006-AR3, Class 1A1 0.61% due 10/25/2036(1)		115,099		87,488
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 0.63% due 02/25/2037(1)		259,095		198,037
BlueMountain CLO 2015-3, Ltd. FRS Series 2015-3A, Class A1 1.81% due 10/20/2027*(2)		2,115,000		2,084,396
Capital Auto Receivables Asset Trust Series 2015-2, Class A2 1.39% due 09/20/2018		319,000		318,899
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1 2.09% due 04/27/2027*(2)		1,355,000		1,344,770
CarMax Auto Owner Trust Series 2014-2, Class C 2.08% due 01/15/2020		329,000		330,694
Cent CLO, Ltd. FRS Series 2013-20A, Class A 2.10% due 01/25/2026*(2)		1,500,000		1,480,605
Cent CLO, Ltd. FRS Series 2014-21A, Class A1A 2.11% due 07/27/2026*(2)		820,000		813,071
CGGS Commercial Mtg. Trust Series 2016-RNDA, Class AFX 2.76% due 02/10/2033*(3)		400,000		402,637
Chase Mtg. Finance Trust FRS Series 2005-A1, Class 2A2 2.68% due 12/25/2035(1)		260,549		235,340
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(1)		320,000		304,882
CHL Mtg. Pass Through Trust FRS Series 2007-HY4, Class 1A1 2.75% due 09/25/2047(1)		347,590		310,361
CHL Mtg. Pass-Through Trust FRS Series 2007-HY1, Class 1A1 3.02% due 04/25/2037(1)		51,268		47,980
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 2.10% due 05/24/2026*(2)		1,495,000		1,483,339

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Financial Services (continued)
CIFC Funding, Ltd. FRS Series 2014-1A, Class A 2.12% due 04/18/2025*(2)	$	1,285,000	$	1,275,722
CIFC Funding, Ltd. FRS Series 2012-1AR, Class A2R 2.72% due 08/14/2024*(2)		1,085,000		1,068,855
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 1.13% due 07/10/2047(3)(4)		4,357,124		284,077
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29, Class XA 1.17% due 04/10/2048(3)(4)		3,702,440		267,352
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A2 2.79% due 03/10/2047(3)		303,000		310,432
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class A2 2.85% due 07/10/2047(3)		494,000		507,641
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(3)		610,000		658,883
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(3)		615,000		671,613
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(3)		1,110,000		1,223,245
Citigroup Commercial Mtg. Trust VRS Series 2013-GC15, Class A4 4.37% due 09/10/2046(3)		870,000		972,000
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.14% due 12/10/2049(3)		293,631		307,288
Cobalt CMBS Commercial Mtg. Trust Series 2006-C1, Class A4 5.22% due 08/15/2048(3)		66,504		67,182
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.10% due 12/10/2049(3)		658,823		688,124
Commercial Mtg. Trust Series 2012-CR5, Class A4 2.77% due 12/10/2045(3)		45,000		46,227
Commercial Mtg. Trust Series 2012-CR4, Class A3 2.85% due 10/15/2045(3)		1,065,000		1,099,159
Commercial Mtg. Trust Series 2015-DC1, Class A2 2.87% due 02/10/2048(3)		454,000		468,550
Commercial Mtg. Trust Series 2015-CR24, Class A2 3.02% due 08/10/2055(3)		34,505		36,138
Commercial Mtg. Trust Series 2013-CR8, Class A4 3.33% due 06/10/2046(3)		425,000		449,384

243

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Commercial Mtg. Trust VRS Series 2013-CR8, Class A5 3.61% due 06/10/2046(3)	$	775,000	$	830,828
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(3)		1,205,000		1,280,389
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(3)		1,135,000		1,206,515
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(3)		660,000		714,595
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(3)		605,000		661,042
Commercial Mtg. Trust Series 2013-CR9, Class A3 4.02% due 07/10/2045(3)		130,000		142,859
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(3)		675,000		739,366
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(3)		845,000		941,117
Consumer Credit Origination Loan Trust Series 2015-1, Class A 2.82% due 03/15/2021*(10)		152,314		152,357
Core Industrial Trust Series 2015-1, Class A 3.04% due 02/10/2034*(3)		398,000		408,612
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 0.70% due 01/25/2036(1)		174,364		141,437
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 0.76% due 11/25/2035(1)		80,740		65,734
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 1.23% due 12/25/2035(1)		176,692		143,781
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(1)		259,798		214,303
Countrywide Alternative Loan Trust Series 2007-19, Class 2A1 6.50% due 08/25/2037(1)		360,498		240,944
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 1.11% due 03/25/2035(1)		102,589		81,870

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Financial Services (continued)
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-HYB3, Class 2A2A 2.57% due 06/20/2035(1)	$	186,982	$	179,278
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-HYB7, Class 6A1 2.61% due 11/20/2035(1)		52,351		46,399
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(1)		17,390		17,440
Credit Acceptance Auto Loan Trust Series 2014-1A, Class A 1.55% due 10/15/2021*		625,000		623,557
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.90% due 06/15/2057(3)(4)		10,346,379		573,516
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A2 2.97% due 04/15/2050(3)		20,600		21,399
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(3)		1,443,000		1,539,291
CSMC Trust Series 2015-GLPA, Class A 3.88% due 11/15/2037*(3)		1,150,000		1,232,385
DB Master Finance LLC Series 2015-1A, Class A2II 3.98% due 02/20/2045*		95,040		92,949
Dell Equipment Finance Trust Series 2015-1, Class A3 1.30% due 03/23/2020*		190,000		189,345
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-RMP1, Class A2 0.58% due 12/25/2036(1)		261,119		212,322
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 0.58% due 03/25/2037(1)		26,401		18,840
Discover Card Execution Note Trust Series 2015-A4, Class A4 2.19% due 04/17/2023		248,000		251,971
Dryden Senior Loan Fund FRS Series 2014-33A, Class A 2.10% due 07/15/2026*(2)		1,370,000		1,364,465
Dryden Senior Loan Fund FRS Series 2014-36A, Class B 2.97% due 11/09/2025*(2)		1,050,000		1,049,202
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class A 1.97% due 04/18/2026*(2)		1,260,000		1,247,299
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 1.24% due 03/19/2046(1)		394,509		281,084

244

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
First Franklin Mtg. Loan Trust FRS Series 2006-FF15, Class A5 0.59% due 11/25/2036	$	228,501	$	199,359
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		175,000		174,949
Flagship Credit Auto Trust Series 2014-1, Class A 1.21% due 04/15/2019*		99,813		99,363
Flatiron CLO, Ltd. FRS Series 2014-1A, Class A2 2.52% due 07/17/2026*(2)		290,000		280,358
Ford Credit Auto Owner Trust Series 2014-C,Class B 1.97% due 04/15/2020		164,000		165,792
Ford Credit Auto Owner Trust Series 2015-2, Class A 2.44% due 01/15/2027*		180,000		181,826
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		190,000		189,224
GM Financial Automobile Leasing Trust Series 2014-2A, Class B 1.96% due 03/20/2018*		190,000		189,755
GMACM Mtg. Loan Trust FRS Series 2005-AR5, Class 4A1 3.10% due 09/19/2035(1)		77,528		71,131
GMACM Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1 3.29% due 04/19/2036(1)		438,037		392,818
Green Tree Agency Advance Funding Trust I Series 2015-T2, Class AT2 3.09% due 10/15/2048*		485,000		485,437
GreenPoint Mtg. Funding Trust FRS Series 2007-AR1, Class 3A2 0.59% due 02/25/2037(1)		110,903		90,997
GS Mtg. Securities Corp. II Series GC30, Class A2 2.73% due 05/10/2050(3)		38,625		39,860
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(3)		1,285,000		1,308,282
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(3)		155,000		184,848
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(3)		1,225,000		1,303,989
GS Mtg. Securities Trust Series 2013-GC12, Class A4 3.14% due 06/10/2046(3)		1,050,000		1,091,860
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(3)		1,307,000		1,399,922

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Financial Services (continued)
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(3)	$	615,000	$	669,345
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 0.48% due 12/25/2046(10)		57,777		36,115
GSAA Home Equity Trust FRS Series 2006-20, Class 1A1 0.50% due 12/25/2046(10)		101,525		49,891
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 0.51% due 02/25/2037(10)		520,319		264,192
GSAA Home Equity Trust FRS Series 2006-19, Class A1 0.52% due 12/25/2036(10)		17,563		8,298
GSAA Home Equity Trust FRS Series 2006-17, Class A3A 0.67% due 11/25/2036(10)		139,487		79,305
GSAA Home Equity Trust FRS Series 2006-3, Class A3 0.73% due 03/25/2036(10)		29,942		19,799
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 0.75% due 04/25/2047(10)		231,863		141,810
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036(6)(10)		127,333		66,012
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036(10)		406,557		201,527
GSAA Trust FRS Series 2007-3, Class 1A2 0.60% due 03/25/2047(10)		97,884		47,300
GSAA Trust FRS Series 2007-6, Class 1A2 0.65% due 05/25/2047(10)		75,130		52,123
GSAA Trust Series 2005-7, Class AF4 5.06% due 05/25/2035(6)(10)		365,000		337,613
GSR Mtg. Loan Trust FRS Series 2007-1F, Class 4A1 0.73% due 01/25/2037(1)		856,155		527,929
GSR Mtg. Loan Trust FRS Series 2005-8F, Class 3A2 0.93% due 11/25/2035(1)		18,476		12,334
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 2.83% due 10/25/2035(1)		190,250		166,646
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.91% due 01/25/2036(1)		19,876		18,333
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A4 2.91% due 01/25/2036(1)		257,206		234,994
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 0.62% due 01/19/2038(1)		15,529		12,457

245

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 0.67% due 12/19/2036(1)	$	339,409	$	231,010
HarborView Mtg. Loan Trust FRS Series 2004-11, Class 1A 1.13% due 01/19/2035(1)(10)		55,472		36,356
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(3)		1,305,000		1,306,717
HSI Asset Securitization Corp. Trust FRS Series 2006-OPT3, Class 3A4 0.70% due 02/25/2036		200,000		171,541
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 0.71% due 07/25/2035(1)		7,930		6,382
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR13, Class 1A1 2.76% due 08/25/2035(1)		111,506		82,573
IndyMac Index Mtg. Loan Trust FRS Series 2006-AR3, Class 1A1 2.92% due 12/25/2036(1)		435,026		378,283
Invitation Homes Trust FRS Series 2014-SFR1, Class A 1.44% due 06/17/2031*		169,393		165,569
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2012-LC9, Class A5 2.84% due 12/15/2047(3)		855,000		880,066
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(3)		1,000,000		1,036,037
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(3)		1,190,753		1,265,217
JP Morgan Chase Commercial Mtg. Securities Trust Series 2015-JP1, Class A5 3.91% due 01/15/2049(3)		1,786,000		1,932,738
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(3)		985,000		1,090,122
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.70% due 02/12/2049(3)		796,086		817,804
JP Morgan Mtg. Trust FRS Series 2006-A3, Class 3A2 2.76% due 05/25/2036(1)		217,954		192,076

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Financial Services (continued)
JPMBB Commercial Mtg. Securities Trust VRS Series 2015-C33, Class A4 3.77% due 12/15/2048(3)	$	535,000	$	573,429
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(3)		290,000		312,004
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(3)		1,355,000		1,457,659
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(3)		610,000		666,697
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C14, Class A4 4.13% due 08/15/2046(3)		1,165,000		1,287,131
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(3)		335,000		371,723
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(3)		634,860		647,839
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.08% due 04/15/2041(3)		88,172		93,209
Lehman XS Trust FRS Series 2006-16N, Class A4A 0.62% due 11/25/2046(1)(10)		339,900		261,901
Lehman XS Trust FRS Series 2007-7N, Class 1A2 0.67% due 06/25/2047(1)		36,484		24,206
Lehman XS Trust FRS Series 2005-6, Class 1A1 0.69% due 11/25/2035(10)		72,741		48,433
Lehman XS Trust FRS Series 2007-16N, Class 2A2 1.28% due 09/25/2047(1)		333,744		267,062
Limerock CLO II, Ltd. FRS Series 2014-2A, Class A 2.12% due 04/18/2026*(2)		1,295,000		1,274,669
Luminent Mtg. Trust FRS Series 2006-6, Class A1 0.63% due 10/25/2046(1)		135,989		114,283
Luminent Mtg. Trust FRS Series 2005-1, Class A1 0.69% due 11/25/2035(1)		293,063		260,735
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class A1A 1.90% due 10/23/2025*(2)		1,235,000		1,219,995

246

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class A 2.12% due 07/20/2026*(2)	$	1,290,000	$	1,284,363
Madison Park Funding XIII, Ltd. FRS Series 2014-13A, Class A 2.07% due 01/19/2025*(2)		750,000		743,700
Magnetite CLO, Ltd. FRS Series 2012-7A, Class C 5.12% due 01/15/2025*(2)(10)		1,355,000		1,315,448
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 2.04% due 07/25/2026*(2)		2,515,000		2,492,591
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2 2.57% due 07/25/2026*(2)		895,000		878,630
Magnetite VIII, Ltd. FRS Series 2014-8A, Class A 2.10% due 04/15/2026*(2)		835,000		829,472
Magnetite XII, Ltd. FRS Series 2015-12A, Class A 2.12% due 04/15/2027*(2)		930,000		921,918
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A4, Class 1A 2.79% due 07/25/2035(1)		365,179		286,572
Morgan Stanley ABS Capital I, Inc. Trust FRS Series 2006-NC4, Class A2C 0.58% due 06/25/2036(10)		35,549		30,562
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.16% due 12/15/2047(3)(4)		2,787,904		172,838
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(3)		500,000		521,073
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C19, Class A2 3.10% due 12/15/2047(3)		389,000		404,358
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(3)		791,000		816,969
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(3)		1,857,000		1,923,556
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(3)		1,065,000		1,166,814
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(3)		755,000		785,965

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Mtg. Loan Trust FRS Series 2006-16AX, Class 2A2 0.60% due 11/25/2036(10)	$	304,439	$	130,953
Morgan Stanley Mtg. Loan Trust FRS Series 2006-6AR, Class 3A1 2.96% due 05/25/2036(1)		97,959		69,334
Nationstar HECM Loan Trust Series 2016-1A, Class A 2.98% due 02/25/2026*(5)		917,757		918,252
Neuberger Berman CLO XVI, Ltd. FRS Series 2014-16A, Class A1 2.09% due 04/15/2026*(2)		955,000		949,089
Neuberger Berman CLO XVII, Ltd. FRS Series 2014-17A, Class A 2.09% due 08/04/2025*(2)		1,085,000		1,077,481
Nissan Auto Lease Trust Series 2014-A, Class A4 1.04% due 10/15/2019		230,000		229,962
Nomura Asset Acceptance Corp Alternative Loan Trust FRS Series 2006-AF1, Class 3A1 3.56% due 06/25/2036(1)		229,436		169,642
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(1)		289,595		288,944
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class A 2.09% due 07/20/2026*(2)		405,000		400,962
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.17% due 02/15/2026*(2)		1,325,000		1,317,911
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.15% due 04/17/2027*(2)		1,160,000		1,151,532
Octagon Investment Partners XVI, Ltd. FRS Series 2013-A, Class 1A 1.74% due 07/17/2025*(2)		705,000		689,737
Ocwen Master Advance Receivables Trust Series 2015-1, Class AT1 2.54% due 09/17/2046*		1,265,000		1,264,299
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		2,030,000		2,042,850
OZLM Funding V, Ltd. FRS Series 2013-5A, Class A1 2.12% due 01/17/2026*(2)		2,110,000		2,100,231
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 2.17% due 04/17/2026*(2)		1,265,000		1,259,624
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.07% due 04/30/2027*(2)		2,100,000		2,074,737

247

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 2.13% due 04/15/2027*(2)	$	1,565,000	$	1,546,361
RALI Series Trust FRS Series 2006-QA3, Class A2 0.73% due 04/25/2036(1)		346,983		229,336
RALI Series Trust FRS Series 2006-QO7, Class 1A1 1.15% due 09/25/2046(1)		249,857		172,318
RALI Series Trust FRS Series 2007-QH9, Class A1 1.64% due 11/25/2037(1)		103,555		62,970
RALI Series Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(1)		125,800		107,566
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(6)(10)		351,791		174,366
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(6)(10)		166,809		92,522
Residential Asset Securitization Trust FRS Series 2005-A2, Class A2 0.88% due 03/25/2035(1)		132,612		102,302
RFMSI Trust FRS Series 2005-SA3, Class 1A 2.91% due 08/25/2035(1)		150,773		112,055
RFMSI Trust FRS Series 2007-SA2, Class 2A1 3.37% due 04/25/2037(1)		45,745		38,435
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		285,000		285,227
Santander Drive Auto Receivables Trust Series 2014-5, Class C 2.46% due 06/15/2020		164,000		165,002
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 0.52% due 07/25/2036(10)		214,873		95,025
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class A 2.10% due 07/17/2026*(2)		955,000		947,350
Sequoia Mtg. Trust FRS Series 2007-3, Class 2AA1 2.68% due 07/20/2037(1)		33,646		26,659
Shackleton CLO, Ltd. FRS Series 2014-6A, Class A2 2.10% due 07/17/2026*(2)		1,585,000		1,574,587
Sierra Timeshare Receivables Funding LLC Series 2014-2A, Class A 2.05% due 06/20/2031*		65,938		65,626

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Financial Services (continued)
Sierra Timeshare Receivables Funding LLC Series 2015-2A, Class A 2.43% due 06/20/2032*	$	91,010	$	89,959
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 0.61% due 07/25/2037(10)		50,000		29,779
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.68% due 11/25/2036(10)		290,000		190,723
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(10)		692,890		690,036
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		718,887		716,948
SPS Servicer Advance Receivables Trust Series 2015-T3, Class AT3 2.92% due 07/15/2047*		1,385,000		1,385,806
Structured Adjustable Rate Mtg. Loan Trust FRS Series 2004-13, Class A2 0.73% due 09/25/2034(1)		40,613		34,865
Structured Asset Mtg. Investments II Trust FRS Series 2006-AR1, Class 3A1 0.66% due 02/25/2036(1)		159,182		119,465
Symphony CLO LP FRS Series 2012-BR, Class 8AR 2.37% due 01/09/2023*(2)		1,200,000		1,181,640
Symphony CLO, Ltd. FRS Series 2014-15A, Class A 2.07% due 10/17/2026*(2)		1,150,000		1,136,879
Symphony CLO, Ltd. FRS Series 2014-14A, Class A2 2.10% due 07/14/2026*(2)		1,130,000		1,124,203
Synchrony Credit Card Master Note Trust Series 2014-1, Class A 1.61% due 11/15/2020		214,000		214,665
Synchrony Credit Card Master Note Trust Series 2016-1, Class A 2.04% due 03/15/2022		100,000		100,836
Thacher Park CLO, Ltd. FRS Series 2014-A, Class 1A 2.09% due 10/20/2026*(2)		810,000		804,638
Towd Point Mtg. Trust VRS Series 2015-4, Class A1B 2.75% due 04/25/2055*(1)		661,345		660,830
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 2.12% due 04/20/2027*(2)		1,325,000		1,313,300
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(3)		700,000		726,280

248

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
UBS-Barclays Commercial Mtg. Trust Series 2013-C6, Class A4 3.24% due 04/10/2046(3)	$	101,000	$	105,154
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(3)		1,195,000		1,225,102
Voya CLO, Ltd. FRS Series 2014-2A, Class A1 2.07% due 07/17/2026*(2)		250,000		247,795
Voya CLO, Ltd. FRS Series 2014-1A, Class A1 2.12% due 04/18/2026*(2)		1,250,000		1,240,863
Voya CLO, Ltd. FRS Series 2014-4A, Class A1 2.12% due 10/14/2026*(2)		350,000		347,722
Voya CLO, Ltd. FRS Series 2012-1RA, Class A2R 2.48% due 03/14/2022*(2)		1,000,000		987,920
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR17, Class 1A 1.14% due 12/25/2046(1)		168,431		129,706
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR18, Class 2A2 1.98% due 01/25/2037(1)		90,240		74,152
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.16% due 11/25/2046(1)		96,924		85,480
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2007-HY6, Class 1A1 2.21% due 06/25/2037(1)		154,255		130,452
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2007-HY1, Class A1 0.52% due 02/25/2037(1)		559,609		354,207
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-5, Class 1A1 1.03% due 07/25/2036(1)		129,114		71,433
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-AR9, Class 1A 1.18% due 11/25/2046(1)		206,795		140,338
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.19% due 09/15/2057(3)(4)		9,714,772		688,696
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class XA 1.20% due 05/15/2048(3)(4)		3,758,744		275,437

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Financial Services (continued)
Wells Fargo Commercial Mtg. Trust Series 2015-C26, Class A2 2.66% due 02/15/2048(3)	$	140,000	$	143,909
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.10% due 05/15/2048(3)		75,000		55,949
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR16, Class A1 2.74% due 10/25/2036(1)		261,524		238,766
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.76% due 11/25/2034(1)		53,596		53,378
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR16, Class 4A8 2.76% due 10/25/2035(1)		325,000		308,751
Wendys Funding LLC Series 2015-1A, Class A2I 3.37% due 06/15/2045*		139,300		136,745
Wendys Funding LLC Series 2015-1A, Class A23 4.50% due 06/15/2045*		69,650		67,658
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		1,250,000		1,249,215
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.81% due 02/15/2044*(3)(4)		598,976		19,115
WF-RBS Commercial Mtg. Trust Series 2013-C15, Class A3 3.88% due 08/15/2046(3)		505,000		548,098
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(3)		480,000		527,094
Total Asset Backed Securities (cost $141,488,267)				142,180,694
U.S. CORPORATE BONDS & NOTES — 26.0%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024		94,000		96,884
Omnicom Group, Inc. Company Guar. Notes 3.60% due 04/15/2026		666,000		682,221
				779,105
Aerospace/Defense — 0.2%
BAE Systems Holdings, Inc. Company Guar. Notes 2.85% due 12/15/2020*		155,000		157,465

249

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Aerospace/Defense (continued)
BAE Systems Holdings, Inc. Company Guar. Notes 3.80% due 10/07/2024*	$	184,000	$	188,666
BAE Systems Holdings, Inc. Company Guar. Notes 4.75% due 10/07/2044*		87,000		90,771
Boeing Co. Senior Notes 0.95% due 05/15/2018		212,000		211,251
Boeing Co. Senior Notes 2.20% due 10/30/2022		145,000		144,144
Lockheed Martin Corp. Senior Notes 2.50% due 11/23/2020		265,000		271,429
Lockheed Martin Corp. Senior Notes 2.90% due 03/01/2025		200,000		203,142
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		450,000		503,159
Lockheed Martin Corp. Senior Notes 5.72% due 06/01/2040		400,000		484,635
Raytheon Co. Senior Notes 3.13% due 10/15/2020		500,000		533,843
				2,788,505
Aerospace/Defense-Equipment — 0.2%
Harris Corp. Senior Notes 4.85% due 04/27/2035		166,000		172,542
Harris Corp. Senior Notes 5.05% due 04/27/2045		157,000		167,278
Moog, Inc. Company Guar. Notes 5.25% due 12/01/2022*		94,000		94,118
Orbital ATK, Inc. Company Guar. Notes 5.25% due 10/01/2021		94,000		97,525
Orbital ATK, Inc. Company Guar. Notes 5.50% due 10/01/2023*		123,000		129,150
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022		42,000		37,800
United Technologies Corp. Senior Notes 6.13% due 07/15/2038		1,036,000		1,338,206
				2,036,619
Agricultural Chemicals — 0.1%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		500,000		435,168

Security Description	Principal Amount(17)		Value (Note 2)
Agricultural Chemicals (continued)
CF Industries, Inc. Company Guar. Notes 5.38% due 03/15/2044	$	650,000	$	597,915
				1,033,083
Airlines — 0.0%
Allegiant Travel Co. Company Guar. Notes 5.50% due 07/15/2019		108,000		110,970
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 07/02/2016(5)		14,593		14,646
United Airlines Pass-Through Trust Pass-Through Certs Series 2014-2, Class B 4.63% due 03/03/2024		133,133		131,801
United Airlines Pass-Through Trust Pass-Through Certs Series 2013-1, Class B 5.38% due 02/15/2023		86,355		88,514
				345,931
Alternative Waste Technology — 0.0%
Advanced Disposal Services, Inc. Company Guar. Notes 8.25% due 10/01/2020		34,000		34,677
Applications Software — 0.2%
Microsoft Corp. Senior Notes 1.30% due 11/03/2018		157,000		158,527
Microsoft Corp. Senior Notes 2.00% due 11/03/2020		550,000		563,504
Microsoft Corp. Senior Notes 2.65% due 11/03/2022		600,000		623,885
Microsoft Corp. Senior Notes 4.45% due 11/03/2045		1,080,000		1,197,899
				2,543,815
Auto-Cars/Light Trucks — 1.0%
American Honda Finance Corp. Senior Notes 1.20% due 07/14/2017		236,000		236,414
Daimler Finance North America LLC Company Guar. Notes 1.38% due 08/01/2017*		306,000		306,838
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020*		287,000		290,032
Daimler Finance North America LLC Company Guar. Notes 2.63% due 09/15/2016*		150,000		150,936

250

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto-Cars/Light Trucks (continued)
Ford Motor Co. Senior Notes 7.45% due 07/16/2031	$	375,000	$	488,565
Ford Motor Credit Co. LLC Senior Notes 1.46% due 03/27/2017		465,000		464,363
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		115,000		114,856
Ford Motor Credit Co. LLC Senior Notes 1.68% due 09/08/2017		1,000,000		995,870
Ford Motor Credit Co. LLC Senior Notes 2.24% due 06/15/2018		300,000		300,382
Ford Motor Credit Co. LLC Senior Notes 3.20% due 01/15/2021		665,000		679,701
Ford Motor Credit Co. LLC Senior Notes 4.13% due 08/04/2025		275,000		286,164
Ford Motor Credit Co. LLC Senior Notes 5.88% due 08/02/2021		1,225,000		1,404,023
Ford Motor Credit Co. LLC Senior Notes 6.63% due 08/15/2017		375,000		397,761
General Motors Co. Senior Notes 4.00% due 04/01/2025		900,000		877,675
General Motors Co. Senior Notes 4.88% due 10/02/2023		1,315,000		1,377,975
General Motors Co. Senior Notes 6.25% due 10/02/2043		750,000		801,032
General Motors Co. Senior Notes 6.60% due 04/01/2036		310,000		341,121
General Motors Co. Senior Notes 6.75% due 04/01/2046		110,000		125,044
General Motors Financial Co., Inc. Company Guar. Notes 3.10% due 01/15/2019		1,215,000		1,229,530
General Motors Financial Co., Inc. Company Guar. Notes 5.25% due 03/01/2026		440,000		460,207
Hyundai Capital America Senior Notes 2.40% due 10/30/2018*		377,000		379,515
Toyota Motor Credit Corp. Senior Notes 2.00% due 10/24/2018		118,000		120,129

Security Description	Principal Amount(17)		Value (Note 2)
Auto-Cars/Light Trucks (continued)
Volkswagen Group of America Finance LLC Company Guar. Notes 1.60% due 11/20/2017*	$	785,000	$	776,759
				12,604,892
Auto-Heavy Duty Trucks — 0.0%
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		94,000		98,465
PACCAR Financial Corp. Senior Notes 1.65% due 02/25/2019		53,000		53,200
PACCAR Financial Corp. Senior Notes 2.20% due 09/15/2019		264,000		269,199
				420,864
Auto/Truck Parts & Equipment-Original — 0.0%
Affinia Group, Inc. Company Guar. Notes 7.75% due 05/01/2021		97,000		99,910
TI Group Automotive Systems, LLC Senior Notes 8.75% due 07/15/2023*		85,000		81,600
				181,510
Banks-Commercial — 0.8%
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025		361,000		362,086
BB&T Corp. Sub. Notes 4.90% due 06/30/2017		250,000		259,993
Branch Banking & Trust Co. Senior Notes 1.45% due 10/03/2016		600,000		601,505
Capital One NA Senior Notes 1.50% due 09/05/2017		1,500,000		1,493,614
Capital One NA Senior Notes 1.50% due 03/22/2018		360,000		354,482
Capital One NA Senior Notes 1.65% due 02/05/2018		350,000		347,479
Capital One NA Senior Notes 2.35% due 08/17/2018		1,400,000		1,407,207
Discover Bank Senior Notes 4.20% due 08/08/2023		250,000		261,319
Fifth Third Bank Senior Notes 2.15% due 08/20/2018		600,000		604,892
Fifth Third Bank Senior Notes 2.88% due 10/01/2021		255,000		259,736

251

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
Fifth Third Bank Sub. Notes 3.85% due 03/15/2026	$	200,000	$	204,880
First Horizon National Corp. Senior Notes 3.50% due 12/15/2020		458,000		457,675
First Tennessee Bank NA Senior Notes 2.95% due 12/01/2019		258,000		258,607
HSBC USA, Inc. Senior Notes 2.75% due 08/07/2020		525,000		527,442
MUFG Union Bank NA Senior Notes 3.00% due 06/06/2016		595,000		597,309
National City Bank Sub. Notes 5.80% due 06/07/2017		250,000		261,821
PNC Bank NA Senior Notes 2.40% due 10/18/2019		755,000		770,499
Regions Financial Corp. Senior Notes 3.20% due 02/08/2021		178,000		179,480
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		299,000		384,815
				9,594,841
Banks-Fiduciary — 0.4%
Bank of New York Mellon Corp. Senior Notes 2.20% due 03/04/2019		1,075,000		1,091,792
Bank of New York Mellon Corp. Senior Notes 2.45% due 11/27/2020		1,530,000		1,560,563
Bank of New York Mellon Corp. Senior Notes 2.60% due 08/17/2020		1,155,000		1,182,792
Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022*		260,000		269,667
State Street Corp. Senior Sub. Notes 3.10% due 05/15/2023		165,000		166,599
				4,271,413
Banks-Super Regional — 0.9%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		615,000		622,692
Fifth Third Bancorp Sub. Notes 5.45% due 01/15/2017		225,000		230,499
Fifth Third Bancorp Sub. Notes 8.25% due 03/01/2038		125,000		182,121

Security Description	Principal Amount(17)		Value (Note 2)
Banks-Super Regional (continued)
JPMorgan Chase Bank NA Sub. Notes 6.00% due 10/01/2017	$	625,000	$	663,537
National City Corp. Sub. Notes 6.88% due 05/15/2019		169,000		190,239
PNC Financial Services Group, Inc. Senior Notes 2.85% due 11/09/2022(9)		190,000		191,937
PNC Funding Corp. Company Guar. Notes 2.70% due 09/19/2016		500,000		503,454
SunTrust Banks, Inc. Senior Notes 2.90% due 03/03/2021		121,000		122,767
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		1,335,000		1,355,885
Wachovia Corp. Sub. Notes 5.50% due 08/01/2035		600,000		668,908
Wells Fargo & Co. Senior Notes 2.50% due 03/04/2021		2,000,000		2,025,260
Wells Fargo & Co. Senior Notes 2.60% due 07/22/2020		800,000		818,625
Wells Fargo & Co. Sub. Notes 4.10% due 06/03/2026		116,000		121,748
Wells Fargo & Co. Sub. Notes 4.30% due 07/22/2027		285,000		302,398
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		1,485,000		1,593,913
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		275,000		310,835
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		1,045,000		1,210,983
				11,115,801
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		99,000		95,535
Beverages-Non-alcoholic — 0.1%
PepsiCo, Inc. Senior Notes 3.10% due 07/17/2022		675,000		720,326
Brewery — 1.2%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		1,352,000		1,371,307

252

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Brewery (continued)
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.15% due 02/01/2019	$	225,000	$	229,922
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.65% due 02/01/2021		228,000		234,290
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		3,180,000		3,306,001
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		141,000		148,277
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		1,660,000		1,793,969
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		4,814,000		5,379,943
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 1.38% due 07/15/2017		707,000		710,866
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 2.50% due 07/15/2022		380,000		383,172
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		170,000		161,510
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.38% due 01/15/2020		425,000		479,235
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 8.20% due 01/15/2039		500,000		756,208
				14,954,700
Broadcast Services/Program — 0.0%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes Series A 6.50% due 11/15/2022		150,000		142,875
Univision Communications, Inc. Company Guar. Notes 8.50% due 05/15/2021*		75,000		76,500
				219,375

Security Description	Principal Amount(17)		Value (Note 2)
Building & Construction Products-Misc. — 0.0%
GCP Applied Technologies, Inc. Company Guar. Notes 9.50% due 02/01/2023*	$	26,000	$	28,210
Standard Industries, Inc. Senior Notes 5.13% due 02/15/2021*		26,000		26,618
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		94,000		99,405
				154,233
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		100,000		91,750
Building Products-Doors & Windows — 0.0%
Griffon Corp. Company Guar. Notes 5.25% due 03/01/2022		78,000		77,805
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 4.45% due 04/01/2025		221,000		229,243
Building-Residential/Commercial — 0.0%
Lennar Corp. Company Guar. Notes 4.75% due 04/01/2021		104,000		105,300
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		100,000		106,500
				211,800
Cable/Satellite TV — 1.4%
Cable One, Inc. Company Guar. Notes 5.75% due 06/15/2022*		153,000		155,295
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		3,570,000		3,647,958
CCO Safari II LLC Senior Sec. Notes 4.46% due 07/23/2022*		455,000		475,597
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*		1,455,000		1,534,757
CCO Safari II LLC Senior Sec. Notes 6.38% due 10/23/2035*		96,000		105,980
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		1,315,000		1,463,235
CCOH Safari LLC Senior Notes 5.75% due 02/15/2026*		80,000		82,800
Cequel Communications Holdings I LLC/Cequel Capital Corp. Senior Notes 6.38% due 09/15/2020*		80,000		79,200

253

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 2.75% due 03/01/2023	$	1,065,000	$	1,100,537
Comcast Corp. Company Guar. Notes 2.85% due 01/15/2023		800,000		831,982
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026		940,000		978,690
Comcast Corp. Company Guar. Notes 4.40% due 08/15/2035		405,000		438,781
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		570,000		642,943
Comcast Corp. Company Guar. Notes 6.40% due 05/15/2038		250,000		332,975
Comcast Corp. Company Guar. Notes 6.95% due 08/15/2037		500,000		702,131
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033		215,000		296,064
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		370,000		356,812
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		680,000		655,948
Cox Communications, Inc. Senior Notes 6.25% due 06/01/2018*		200,000		214,298
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		375,000		330,938
Time Warner Cable, Inc. Company Guar. Notes 4.00% due 09/01/2021		315,000		329,621
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		310,000		275,189
Time Warner Cable, Inc. Company Guar. Notes 5.85% due 05/01/2017		300,000		312,730
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		125,000		129,365
Time Warner Cable, Inc. Company Guar. Notes 6.55% due 05/01/2037		365,000		399,981
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		300,000		330,067
Time Warner Cable, Inc. Company Guar. Notes 8.75% due 02/14/2019		1,190,000		1,393,358
				17,597,232

Security Description	Principal Amount(17)		Value (Note 2)
Casino Hotels — 0.0%
Caesars Entertainment Resort Properties LLC Senior Sec. Notes 8.00% due 10/01/2020	$	128,000	$	125,312
Caesars Entertainment Resort Properties LLC Sec. Notes 11.00% due 10/01/2021		85,000		72,463
Downstream Development Authority of the Quapaw Tribe of Oklahoma Senior Sec. Notes 10.50% due 07/01/2019*		95,000		90,250
Golden Nugget Escrow, Inc. Senior Notes 8.50% due 12/01/2021*		100,000		100,500
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC Company Guar. Notes 5.88% due 05/15/2021*		50,000		50,125
				438,650
Cellular Telecom — 0.1%
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		517,000		394,859
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2026		170,000		176,587
				571,446
Chemicals-Diversified — 0.0%
Solvay Finance America LLC Company Guar. Notes 4.45% due 12/03/2025*		234,000		239,022
Chemicals-Plastics — 0.0%
A. Schulman, Inc. Company Guar. Notes 6.88% due 06/01/2023*		69,000		67,965
Chemicals-Specialty — 0.0%
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		108,000		141,151
Tronox Finance LLC Company Guar. Notes 7.50% due 03/15/2022*		83,000		62,250
				203,401
Coal — 0.0%
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.38% due 02/01/2020*		145,000		100,775
Coatings/Paint — 0.0%
RPM International, Inc. Senior Notes 5.25% due 06/01/2045		284,000		281,388

254

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Coatings/Paint (continued)
Valspar Corp. Senior Notes 3.95% due 01/15/2026	$	75,000	$	77,421
				358,809
Commercial Services-Finance — 0.0%
Automatic Data Processing, Inc. Senior Notes 2.25% due 09/15/2020		92,000		94,686
Harland Clarke Holdings Corp. Senior Sec. Notes 6.88% due 03/01/2020*		75,000		66,750
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		96,000		73,560
Total System Services, Inc. Senior Notes 3.80% due 04/01/2021		48,000		49,363
Total System Services, Inc. Senior Notes 4.80% due 04/01/2026		37,000		38,178
				322,537
Computer Services — 0.2%
Hewlett Packard Enterprise Co. Company Guar. Notes 2.45% due 10/05/2017*		910,000		915,941
Hewlett Packard Enterprise Co. Company Guar. Notes 4.90% due 10/15/2025*		175,000		180,104
Hewlett Packard Enterprise Co. Company Guar. Notes 6.20% due 10/15/2035*		243,000		239,099
Hewlett Packard Enterprise Co. Company Guar. Notes 6.35% due 10/15/2045*		186,000		182,797
International Business Machines Corp. Senior Notes 3.38% due 08/01/2023		200,000		211,737
International Business Machines Corp. Senior Notes 3.45% due 02/19/2026		113,000		118,615
International Business Machines Corp. Senior Notes 4.00% due 06/20/2042		278,000		282,791
				2,131,084
Computer Software — 0.0%
Rackspace Hosting, Inc. Company Guar. Notes 6.50% due 01/15/2024*		85,000		83,300
Computers — 0.2%
Apple, Inc. Senior Notes 2.85% due 05/06/2021		254,000		266,326

Security Description	Principal Amount(17)		Value (Note 2)
Computers (continued)
Apple, Inc. Senior Notes 2.85% due 02/23/2023	$	186,000	$	192,800
Apple, Inc. Senior Notes 3.45% due 02/09/2045		895,000		808,324
Apple, Inc. Senior Notes 4.45% due 05/06/2044		475,000		500,231
Apple, Inc. Senior Notes 4.50% due 02/23/2036		200,000		214,619
Hewlett-Packard Co. Senior Notes 6.00% due 09/15/2041		172,000		154,694
				2,136,994
Computers-Integrated Systems — 0.0%
Everi Payments, Inc. Senior Notes 10.00% due 01/15/2022		93,000		78,585
Consumer Products-Misc. — 0.0%
Kimberly-Clark Corp. Senior Notes 1.85% due 03/01/2020		60,000		60,899
Containers-Metal/Glass — 0.0%
Ball Corp. Company Guar. Notes 4.38% due 12/15/2020		44,000		45,788
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		78,000		83,265
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025*		105,000		104,212
				233,265
Containers-Paper/Plastic — 0.0%
Berry Plastics Corp. Sec. Notes 5.13% due 07/15/2023		60,000		60,450
Brambles USA, Inc. Company Guar. Notes 4.13% due 10/23/2025*		76,000		78,915
Consolidated Container Co. LLC/ Consolidated Container Capital, Inc. Company Guar. Notes 10.13% due 07/15/2020*		68,000		55,760
Multi-Color Corp. Company Guar. Notes 6.13% due 12/01/2022*		139,000		141,085
				336,210
Cosmetics & Toiletries — 0.0%
Procter & Gamble Co. Senior Notes 3.10% due 08/15/2023		400,000		428,188

255

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Data Processing/Management — 0.0%
Fidelity National Information Services, Inc. Senior Notes 5.00% due 10/15/2025	$	77,000	$	83,150
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024*		80,000		80,100
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		25,000		25,625
				188,875
Diagnostic Equipment — 0.1%
Danaher Corp. Senior Notes 2.40% due 09/15/2020		405,000		418,137
Danaher Corp. Senior Notes 3.35% due 09/15/2025		134,000		142,533
Danaher Corp. Senior Notes 4.38% due 09/15/2045		75,000		83,767
Thermo Fisher Scientific, Inc. Senior Notes 1.30% due 02/01/2017		515,000		514,662
				1,159,099
Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.13% due 07/15/2024		100,000		101,000
Distribution/Wholesale — 0.0%
H&E Equipment Services, Inc. Company Guar. Notes 7.00% due 09/01/2022		85,000		86,275
LKQ Corp. Company Guar. Notes 4.75% due 05/15/2023		88,000		85,580
				171,855
Diversified Banking Institutions — 4.5%
Bank of America Corp. Senior Notes 2.25% due 04/21/2020		1,200,000		1,188,413
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		2,027,000		2,061,277
Bank of America Corp. Senior Notes 2.63% due 10/19/2020		113,000		113,787
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		1,693,000		1,684,460
Bank of America Corp. Sub. Notes 4.00% due 01/22/2025		625,000		625,948
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		715,000		752,139

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Banking Institutions (continued)
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024	$	415,000	$	422,590
Bank of America Corp. Sub. Notes 4.25% due 10/22/2026		212,000		215,160
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		200,000		220,730
Bank of America Corp. Senior Notes 5.63% due 07/01/2020		525,000		589,949
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		694,000		798,014
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		900,000		988,219
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		23,000		26,326
Citigroup, Inc. Senior Notes 1.70% due 04/27/2018		600,000		597,839
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026		1,220,000		1,251,986
Citigroup, Inc. Sub. Notes 3.88% due 03/26/2025		104,000		103,051
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		2,210,000		2,199,348
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		1,000,000		1,019,712
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		2,848,000		2,865,783
Citigroup, Inc. Sub. Notes 4.60% due 03/09/2026		400,000		410,134
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		1,125,000		1,178,138
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		85,000		93,016
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033		99,000		108,573
Credit Suisse Group Funding Guernsey, Ltd. Company Guar. Notes 3.13% due 12/10/2020*		2,150,000		2,138,138
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		800,000		810,290

256

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020	$	820,000	$	826,754
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		1,080,000		1,095,699
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		75,000		76,319
Goldman Sachs Group, Inc. Senior Notes 3.63% due 01/22/2023		206,000		212,474
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		1,135,000		1,190,069
Goldman Sachs Group, Inc. Sub. Notes 4.25% due 10/21/2025		234,000		237,928
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045		843,000		881,120
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		1,764,000		1,792,018
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		850,000		943,188
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		89,000		107,780
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		610,000		758,436
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		385,000		446,396
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		1,616,000		1,930,209
JPMorgan Chase & Co. Senior Notes 2.20% due 10/22/2019		302,000		307,175
JPMorgan Chase & Co. Senior Notes 2.55% due 03/01/2021		300,000		302,660
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		1,060,000		1,085,493
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		1,814,000		1,891,880
JPMorgan Chase & Co. Sub. Notes 4.13% due 12/15/2026		200,000		207,610
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		45,000		48,711

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027	$	1,960,000	$	2,038,655
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		450,000		491,719
JPMorgan Chase & Co. Senior Notes 4.63% due 05/10/2021		525,000		582,073
JPMorgan Chase & Co. Sub. Notes 4.95% due 06/01/2045		541,000		571,008
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		125,000		153,489
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		505,000		581,593
JPMorgan Chase & Co. Senior Notes 6.00% due 01/15/2018		357,000		384,473
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		360,000		407,142
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038		930,000		1,270,466
Morgan Stanley Senior Notes 1.88% due 01/05/2018		1,275,000		1,279,056
Morgan Stanley Senior Notes 2.13% due 04/25/2018		1,700,000		1,711,786
Morgan Stanley Senior Notes 2.45% due 02/01/2019		365,000		370,399
Morgan Stanley Senior Notes 2.50% due 01/24/2019		425,000		432,423
Morgan Stanley Senior Notes 2.80% due 06/16/2020		106,000		107,930
Morgan Stanley Senior Notes 3.70% due 10/23/2024		510,000		526,738
Morgan Stanley Senior Notes 3.75% due 02/25/2023		400,000		416,786
Morgan Stanley Senior Notes 3.88% due 01/27/2026		910,000		949,320
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		1,115,000		1,116,179
Morgan Stanley Senior Notes 4.00% due 07/23/2025		980,000		1,024,722

257

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Morgan Stanley Sub. Notes 4.10% due 05/22/2023	$	456,000	$	470,247
Morgan Stanley Senior Notes 4.30% due 01/27/2045		730,000		734,556
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		170,000		174,944
Morgan Stanley Senior Notes 4.75% due 03/22/2017		207,000		213,793
Morgan Stanley Sub. Notes 5.00% due 11/24/2025		213,000		230,512
Morgan Stanley Senior Notes 5.50% due 07/24/2020		200,000		224,861
Morgan Stanley Senior Notes 5.55% due 04/27/2017		240,000		250,243
Morgan Stanley Senior Notes 6.25% due 08/28/2017		150,000		159,381
Morgan Stanley Senior Notes 6.63% due 04/01/2018		1,225,000		1,338,355
Morgan Stanley Senior Notes 7.30% due 05/13/2019		125,000		143,865
				55,161,653
Diversified Financial Services — 0.0%
USAA Capital Corp. Senior Notes 2.13% due 06/03/2019*		275,000		279,229
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 2.70% due 10/09/2022		152,000		158,085
General Electric Co. Senior Notes 5.88% due 01/14/2038		199,000		259,278
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 5.75% due 06/15/2043		199,000		237,042
Textron, Inc. Senior Notes 4.00% due 03/15/2026		161,000		165,061
Textron, Inc. Senior Notes 4.63% due 09/21/2016		234,000		237,500
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024		134,000		111,808
				1,168,774

Security Description	Principal Amount(17)		Value (Note 2)
E-Commerce/Products — 0.0%
Amazon.com, Inc. Senior Notes 4.95% due 12/05/2044	$	290,000	$	334,135
Educational Software — 0.0%
Blackboard, Inc. Senior Notes 7.75% due 11/15/2019*		125,000		100,625
Electric-Distribution — 0.1%
Connecticut Light & Power Co. 1st Mtg. Notes 2.50% due 01/15/2023		345,000		344,269
Entergy Louisiana LLC 1st Mtg. Notes 4.95% due 01/15/2045		508,000		519,843
				864,112
Electric-Integrated — 1.6%
AES Corp. Senior Notes 4.88% due 05/15/2023		93,000		89,512
AES Corp. Senior Notes 5.50% due 03/15/2024		63,000		61,583
Arizona Public Service Co. Senior Notes 2.20% due 01/15/2020		96,000		97,101
Berkshire Hathaway Energy Co. Senior Notes 5.75% due 04/01/2018		450,000		484,744
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036		505,000		625,204
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		300,000		311,331
Dominion Resources, Inc. Senior Notes 1.40% due 09/15/2017		125,000		124,364
Dominion Resources, Inc. Senior Notes 4.45% due 03/15/2021		486,000		525,473
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		336,000		354,875
Dominion Resources, Inc. Senior Notes 7.00% due 06/15/2038		255,000		320,351
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042		80,000		82,560
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038		40,000		51,646
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037		50,000		63,490

258

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Duke Energy Corp. Senior Notes 1.63% due 08/15/2017	$	320,000	$	320,518
Duke Energy Corp. Senior Notes 3.55% due 09/15/2021		450,000		471,565
Duke Energy Corp. Senior Notes 3.75% due 04/15/2024		1,705,000		1,782,567
Duke Energy Corp. Senior Notes 3.95% due 10/15/2023		905,000		961,121
Duke Energy Indiana, Inc. 1st Mtg. Notes 4.90% due 07/15/2043		195,000		222,051
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044		900,000		945,148
Edison International Senior Notes 3.75% due 09/15/2017		1,525,000		1,576,562
Entergy Arkansas, Inc. 1st Mtg. Bonds 3.50% due 04/01/2026		53,000		56,632
Entergy Arkansas, Inc. 1st Mtg. Notes 4.95% due 12/15/2044		140,000		141,309
Eversource Energy Senior Notes 2.80% due 05/01/2023		825,000		819,375
Exelon Corp. Senior Notes 2.85% due 06/15/2020		565,000		576,579
Exelon Corp. Senior Notes 4.95% due 06/15/2035*		80,000		85,398
Exelon Corp. Senior Notes 5.10% due 06/15/2045*		82,000		88,982
Exelon Generation Co. LLC Senior Notes 2.95% due 01/15/2020		129,000		129,831
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		171,000		207,691
Georgia Power Co. Senior Notes 3.25% due 04/01/2026		53,000		54,308
Georgia Power Co. Senior Notes 4.75% due 09/01/2040		350,000		372,965
Great Plains Energy, Inc. Senior Notes 4.85% due 06/01/2021		91,000		99,053
Indiana Michigan Power Co. Senior Notes 4.55% due 03/15/2046		36,000		37,043

Security Description	Principal Amount(17)		Value (Note 2)
Electric-Integrated (continued)
Louisville Gas & Electric Co. 1st Mtg. Notes 4.38% due 10/01/2045	$	23,000	$	25,084
Nevada Power Co. General Refunding Mtg. 7.13% due 03/15/2019		200,000		229,976
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 6.00% due 03/01/2019		250,000		275,007
NiSource Finance Corp. Company Guar. Notes 3.85% due 02/15/2023		275,000		288,384
NiSource Finance Corp. Company Guar. Notes 5.25% due 02/15/2043		275,000		312,999
NiSource Finance Corp. Company Guar. Notes 6.40% due 03/15/2018		32,000		34,701
Pacific Gas & Electric Co. Senior Notes 2.45% due 08/15/2022		450,000		446,656
Pacific Gas & Electric Co. Senior Notes 3.25% due 09/15/2021		172,000		180,386
Pacific Gas & Electric Co. Senior Notes 3.75% due 02/15/2024		260,000		276,500
Pacific Gas & Electric Co. Senior Notes 4.75% due 02/15/2044		470,000		534,904
PacifiCorp 1st Mtg. Notes 3.60% due 04/01/2024		500,000		534,937
PacifiCorp 1st Mtg. Notes 4.10% due 02/01/2042		275,000		287,318
Progress Energy, Inc. Senior Notes 3.15% due 04/01/2022		86,000		87,156
Progress Energy, Inc. Senior Notes 7.05% due 03/15/2019		180,000		204,969
San Diego Gas & Electric Co. 1st Mtg. Notes 3.60% due 09/01/2023		575,000		614,647
South Carolina Electric & Gas Co. 1st. Mtg. Bonds 5.10% due 06/01/2065		102,000		115,699
Southern California Edison Co. 1st. Mtg. Notes 1.13% due 05/01/2017		235,000		235,028
Southern Co. Senior Notes 1.30% due 08/15/2017		201,000		200,268
Southern Power Co. Senior Notes 4.15% due 12/01/2025		165,000		170,012

259

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Southern Power Co. Senior Notes 5.25% due 07/15/2043	$	170,000	$	165,567
Talen Energy Supply LLC Senior Notes 6.50% due 06/01/2025		139,000		115,370
Trans-Allegheny Interstate Line Co. Senior Notes 3.85% due 06/01/2025*		100,000		103,311
Union Electric Co. Senior Sec. Notes 6.40% due 06/15/2017		165,000		174,548
Virginia Electric & Power Co. Senior Notes 1.20% due 01/15/2018		350,000		348,713
Virginia Electric & Power Co. Senior Notes 2.95% due 01/15/2022		165,000		171,296
Virginia Electric & Power Co. Senior Notes 5.40% due 04/30/2018		100,000		108,031
Xcel Energy, Inc. Senior Notes 0.75% due 05/09/2016		1,100,000		1,099,851
				19,482,250
Electronic Components-Misc. — 0.0%
Corning, Inc. Senior Notes 1.50% due 05/08/2018		112,000		111,510
Electronic Components-Semiconductors — 0.1%
Intel Corp. Senior Notes 1.35% due 12/15/2017		380,000		383,087
Micron Technology, Inc. Senior Notes 5.63% due 01/15/2026*		200,000		158,000
				541,087
Electronic Parts Distribution — 0.0%
Avnet, Inc. Senior Notes 4.63% due 04/15/2026		85,000		85,928
Electronics-Military — 0.0%
L-3 Communications Corp. Company Guar. Notes 3.95% due 05/28/2024		18,000		17,324
Energy-Alternate Sources — 0.0%
TerraForm Power Operating LLC Company Guar. Notes 5.88% due 02/01/2023*		90,000		72,900
Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 3.90% due 05/15/2035		106,000		105,756

Security Description	Principal Amount(17)		Value (Note 2)
Enterprise Software/Service (continued)
Oracle Corp. Senior Notes 5.38% due 07/15/2040	$	400,000	$	475,221
Oracle Corp. Senior Notes 6.13% due 07/08/2039		160,000		206,431
				787,408
Finance-Auto Loans — 0.0%
Ally Financial, Inc. Senior Notes 5.13% due 09/30/2024		194,000		198,365
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025		99,000		96,773
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023*		100,000		95,250
				390,388
Finance-Consumer Loans — 0.2%
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021		157,000		111,470
Navient Corp. Senior Notes 5.63% due 08/01/2033		125,000		88,125
OneMain Financial Holdings, Inc. Company Guar. Notes 6.75% due 12/15/2019*		42,000		42,042
Synchrony Financial Senior Notes 2.60% due 01/15/2019		830,000		831,773
Synchrony Financial Senior Notes 2.70% due 02/03/2020		885,000		876,950
Synchrony Financial Senior Notes 4.25% due 08/15/2024		194,000		197,273
				2,147,633
Finance-Credit Card — 0.3%
Discover Financial Services Senior Notes 3.75% due 03/04/2025		192,000		186,881
Discover Financial Services Senior Notes 5.20% due 04/27/2022		160,000		171,089
Discover Financial Services Senior Notes 6.45% due 06/12/2017		40,000		41,929
Visa, Inc. Senior Notes 1.20% due 12/14/2017		950,000		955,579
Visa, Inc. Senior Notes 2.20% due 12/14/2020		203,000		208,043
Visa, Inc. Senior Notes 2.80% due 12/14/2022		555,000		578,793

260

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Credit Card (continued)
Visa, Inc. Senior Notes 4.30% due 12/14/2045	$	837,000	$	915,685
				3,057,999
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		215,000		236,134
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(10)		131,000		13
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(10)		99,000		10
TD Ameritrade Holding Corp. Senior Notes 2.95% due 04/01/2022		123,000		125,543
				361,700
Finance-Mortgage Loan/Banker — 0.0%
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025*		150,000		145,500
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		500,000		510,529
National Rural Utilities Cooperative Finance Corp. Senior Notes 0.95% due 04/24/2017		92,000		91,986
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 1.10% due 01/27/2017		365,000		365,485
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.00% due 01/27/2020		184,000		185,555
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.30% due 11/01/2020		89,000		90,609
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.35% due 06/15/2020		195,000		198,428
				1,442,592
Firearms & Ammunition — 0.0%
FGI Operating Co. LLC/FGI Finance, Inc. Sec. Notes 7.88% due 05/01/2020		75,000		45,000
Food-Confectionery — 0.1%
JM Smucker Co. Company Guar. Notes 2.50% due 03/15/2020		200,000		202,285

Security Description	Principal Amount(17)		Value (Note 2)
Food-Confectionery (continued)
JM Smucker Co. Company Guar. Notes 3.50% due 03/15/2025	$	1,000,000	$	1,042,427
				1,244,712
Food-Dairy Products — 0.0%
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023*		100,000		102,875
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Senior Notes 5.88% due 07/15/2024*		104,000		93,860
Food-Misc./Diversified — 0.2%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018*		190,000		191,758
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020*		1,170,000		1,201,755
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025*		221,000		243,467
Mondelez International, Inc. Senior Notes 4.00% due 02/01/2024		500,000		536,825
				2,173,805
Food-Retail — 0.0%
Kroger Co. Senior Notes 3.50% due 02/01/2026		92,000		96,687
SUPERVALU, Inc. Senior Notes 7.75% due 11/15/2022		119,000		100,853
				197,540
Food-Wholesale/Distribution — 0.1%
C&S Group Enterprises LLC Senior Sec. Notes 5.38% due 07/15/2022*		36,000		34,110
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		525,000		531,099
				565,209
Gambling (Non-Hotel) — 0.0%
Scientific Games International, Inc. Senior Sec. Notes 7.00% due 01/01/2022*		39,000		39,780
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022		100,000		81,000
Waterford Gaming LLC/Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(5)(10)		1,320		15
				120,795

261

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Gas-Distribution — 0.2%
CenterPoint Energy Resources Corp. Senior Notes 4.50% due 01/15/2021	$	210,000	$	223,415
CenterPoint Energy, Inc. Senior Notes 6.50% due 05/01/2018		95,000		102,791
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043		74,000		74,080
Sempra Energy Senior Notes 3.55% due 06/15/2024		1,200,000		1,217,776
Sempra Energy Senior Notes 9.80% due 02/15/2019		100,000		120,286
				1,738,348
Gold Mining — 0.0%
Barrick North America Finance LLC Company Guar. Notes 5.75% due 05/01/2043		525,000		474,598
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 5.13% due 06/01/2021*		54,000		54,608
Home Decoration Products — 0.0%
Newell Rubbermaid, Inc. Senior Notes 4.20% due 04/01/2026		87,000		91,006
Newell Rubbermaid, Inc. Senior Notes 5.38% due 04/01/2036		63,000		67,378
				158,384
Hotels/Motels — 0.0%
Hyatt Hotels Corp. Senior Notes 4.85% due 03/15/2026		82,000		85,564
Interval Acquisition Corp. Company Guar. Notes 5.63% due 04/15/2023*		80,000		80,200
				165,764
Human Resources — 0.0%
Team Health, Inc. Company Guar. Notes 7.25% due 12/15/2023*		74,000		79,180
Independent Power Producers — 0.0%
Dynegy, Inc. Company Guar. Notes 7.38% due 11/01/2022		115,000		106,375
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		18,000		13,140

Security Description	Principal Amount(17)		Value (Note 2)
Independent Power Producers (continued)
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022	$	126,000	$	117,180
				236,695
Industrial Gases — 0.0%
Airgas, Inc. Senior Notes 3.05% due 08/01/2020		62,000		63,441
Insurance Brokers — 0.2%
Aon Corp. Company Guar. Notes 3.13% due 05/27/2016		125,000		125,431
Aon Corp. Company Guar. Notes 5.00% due 09/30/2020		275,000		304,169
Marsh & McLennan Cos., Inc. Senior Notes 2.30% due 04/01/2017		1,450,000		1,460,723
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		290,000		294,850
Marsh & McLennan Cos., Inc. Senior Notes 4.80% due 07/15/2021		250,000		275,880
				2,461,053
Insurance-Life/Health — 0.2%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		71,000		72,598
Lincoln National Corp. Senior Notes 8.75% due 07/01/2019		335,000		400,335
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		185,000		206,649
Pricoa Global Funding I Senior Sec. Notes 1.35% due 08/18/2017*		251,000		249,986
Principal Financial Group, Inc. Company Guar. Notes 1.85% due 11/15/2017		70,000		70,140
Principal Financial Group, Inc. Company Guar. Notes 8.88% due 05/15/2019		100,000		118,805
Prudential Financial, Inc. Senior Notes 5.10% due 08/15/2043		400,000		417,216
Prudential Financial, Inc. Senior Notes 5.70% due 12/14/2036		320,000		361,814
				1,897,543
Insurance-Multi-line — 0.3%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		351,000		418,600

262

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance-Multi-line (continued)
MetLife, Inc. Senior Notes 4.60% due 05/13/2046	$	99,000	$	101,491
MetLife, Inc. Senior Notes 6.38% due 06/15/2034		350,000		438,755
Metropolitan Life Global Funding I Sec. Notes 1.50% due 01/10/2018*		340,000		340,474
Metropolitan Life Global Funding I Sec. Notes 2.30% due 04/10/2019*		2,200,000		2,238,150
Nationwide Mutual Insurance Co. Sub. Notes 9.38% due 08/15/2039*		275,000		405,426
				3,942,896
Insurance-Mutual — 0.2%
Massachusetts Mutual Life Insurance Co. Sub. Notes 4.50% due 04/15/2065*		115,000		106,100
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		495,000		717,590
MassMutual Global Funding II Senior Sec. Notes 2.10% due 08/02/2018*		520,000		524,787
MassMutual Global Funding II Senior Sec. Notes 3.60% due 04/09/2024*		548,000		573,802
New York Life Global Funding Sec. Notes 1.65% due 05/15/2017*		222,000		223,352
				2,145,631
Insurance-Property/Casualty — 0.1%
Chubb INA Holdings, Inc. Company Guar. Notes 3.15% due 03/15/2025		1,225,000		1,260,028
Insurance-Reinsurance — 0.0%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		325,000		343,741
Berkshire Hathaway, Inc. Senior Notes 3.13% due 03/15/2026		89,000		91,256
				434,997
Internet Connectivity Services — 0.0%
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022*		98,000		96,285
Internet Content-Entertainment — 0.0%
Netflix, Inc. Senior Notes 5.88% due 02/15/2025		76,000		79,990

Security Description	Principal Amount(17)		Value (Note 2)
Investment Management/Advisor Services — 0.0%
Ameriprise Financial, Inc. Senior Notes 5.30% due 03/15/2020	$	305,000	$	341,373
National Financial Partners Corp. Senior Notes 9.00% due 07/15/2021*		134,000		128,640
				470,013
Machinery-Farming — 0.1%
John Deere Capital Corp. Senior Notes 1.13% due 06/12/2017		275,000		275,439
John Deere Capital Corp. Senior Notes 1.55% due 12/15/2017		339,000		341,250
				616,689
Marine Services — 0.0%
Great Lakes Dredge & Dock Corp. Company Guar. Notes 7.38% due 02/01/2019		75,000		71,063
Medical Instruments — 0.2%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		1,865,000		1,929,924
Medical Labs & Testing Services — 0.1%
Laboratory Corp. of America Holdings Senior Notes 3.20% due 02/01/2022		50,000		50,688
Laboratory Corp. of America Holdings Senior Notes 3.60% due 02/01/2025		163,000		165,008
Laboratory Corp. of America Holdings Senior Notes 4.70% due 02/01/2045		84,000		82,313
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		351,000		353,099
Roche Holdings, Inc. Company Guar. Notes 2.25% due 09/30/2019*		278,000		286,476
				937,584
Medical Products — 0.2%
Becton Dickinson and Co. Senior Notes 3.13% due 11/08/2021		55,000		56,817
Greatbatch, Ltd. Company Guar. Notes 9.13% due 11/01/2023*		47,000		46,589
Stryker Corp. Senior Notes 2.63% due 03/15/2021		480,000		489,470
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		2,155,000		2,154,280
				2,747,156

263

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene — 0.2%
Amgen, Inc. Senior Notes 3.88% due 11/15/2021	$	400,000	$	433,543
Amgen, Inc. Senior Notes 5.15% due 11/15/2041		225,000		248,298
Celgene Corp. Senior Notes 4.63% due 05/15/2044		495,000		504,322
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		310,000		327,569
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024		515,000		552,562
Gilead Sciences, Inc. Senior Notes 4.75% due 03/01/2046		37,000		40,500
				2,106,794
Medical-Drugs — 0.6%
AbbVie, Inc. Senior Notes 1.80% due 05/14/2018		250,000		251,679
AbbVie, Inc. Senior Notes 2.00% due 11/06/2018		940,000		949,868
Baxalta, Inc. Senior Notes 3.60% due 06/23/2022*		156,000		158,479
Bayer US Finance LLC Company Guar. Notes 2.38% due 10/08/2019*		810,000		834,885
Bayer US Finance LLC Company Guar. Notes 3.00% due 10/08/2021*		1,000,000		1,046,050
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		655,000		668,568
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 7.75% due 01/15/2022*		80,000		81,601
Forest Laboratories LLC Company Guar. Notes 4.88% due 02/15/2021*		181,000		199,566
Johnson & Johnson Senior Notes 2.45% due 03/01/2026		895,000		898,278
Johnson & Johnson Senior Notes 3.55% due 03/01/2036		130,000		135,174
Merck & Co., Inc. FRS Senior Notes 1.00% due 02/10/2020		610,000		606,979
Wyeth LLC Company Guar. Notes 6.50% due 02/01/2034		750,000		992,900
				6,824,027

Security Description	Principal Amount(17)		Value (Note 2)
Medical-HMO — 0.7%
Anthem, Inc. Senior Notes 2.30% due 07/15/2018	$	500,000	$	505,689
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		785,000		794,482
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		400,000		394,854
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		325,000		342,768
Anthem, Inc. Senior Notes 6.38% due 06/15/2037		260,000		315,156
Centene Escrow Corp. Senior Notes 5.63% due 02/15/2021*		16,000		16,680
Centene Escrow Corp. Senior Notes 6.13% due 02/15/2024*		66,000		69,465
Coventry Health Care, Inc. Senior Notes 5.45% due 06/15/2021		80,000		90,428
Humana, Inc. Senior Notes 3.85% due 10/01/2024		1,525,000		1,594,519
Opal Acquisition, Inc. Senior Notes 8.88% due 12/15/2021*		120,000		83,700
UnitedHealth Group, Inc. Senior Notes 1.40% due 12/15/2017		153,000		153,659
UnitedHealth Group, Inc. Senior Notes 1.70% due 02/15/2019		705,000		710,841
UnitedHealth Group, Inc. Senior Notes 2.13% due 03/15/2021		1,223,000		1,233,700
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		1,636,000		1,740,392
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		485,000		522,579
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		400,000		458,676
				9,027,588
Medical-Hospitals — 0.1%
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		29,000		29,708
HCA, Inc. Senior Sec. Notes 4.75% due 05/01/2023		40,000		40,700

264

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Hospitals (continued)
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026	$	80,000	$	82,000
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		24,000		24,262
HCA, Inc. Company Guar. Notes 7.50% due 11/15/2095		150,000		144,750
IASIS Healthcare LLC/IASIS Capital Corp. Company Guar. Notes 8.38% due 05/15/2019		208,000		205,140
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		100,000		102,500
				629,060
Medical-Wholesale Drug Distribution — 0.1%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		895,000		899,181
Metal-Aluminum — 0.0%
Aleris International, Inc. Senior Sec. Notes 9.50% due 04/01/2021*		53,000		54,027
Multimedia — 0.5%
21st Century Fox America, Inc. Company Guar. Notes 3.00% due 09/15/2022		380,000		391,306
21st Century Fox America, Inc. Company Guar. Notes 3.70% due 10/15/2025		475,000		497,356
21st Century Fox America, Inc. Company Guar. Notes 4.95% due 10/15/2045		69,000		73,770
21st Century Fox America, Inc. Company Guar. Notes 6.15% due 02/15/2041		790,000		943,615
21st Century Fox America, Inc. Company Guar. Notes 6.40% due 12/15/2035		150,000		183,530
21st Century Fox America, Inc. Company Guar. Notes 6.90% due 03/01/2019		150,000		170,664
21st Century Fox America, Inc. Company Guar. Notes 7.28% due 06/30/2028		95,000		120,263
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		50,000		60,601
NBCUniversal Media LLC Company Guar. Notes 5.15% due 04/30/2020		125,000		142,099
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		175,000		223,757

Security Description	Principal Amount(17)		Value (Note 2)
Multimedia (continued)
Time Warner, Inc. Company Guar. Notes 4.85% due 07/15/2045	$	614,000	$	624,605
Time Warner, Inc. Company Guar. Notes 7.63% due 04/15/2031		840,000		1,072,215
Time Warner, Inc. Company Guar. Notes 7.70% due 05/01/2032		625,000		802,406
Viacom, Inc. Senior Notes 4.85% due 12/15/2034		81,000		71,894
Walt Disney Co. Senior Notes 1.50% due 09/17/2018		158,000		160,166
Walt Disney Co. Senior Notes 1.65% due 01/08/2019		77,000		78,335
				5,616,582
Networking Products — 0.3%
Cisco Systems, Inc. Senior Notes 1.40% due 02/28/2018		206,000		207,735
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019		316,000		325,117
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		2,271,000		2,316,184
Cisco Systems, Inc. Senior Notes 5.50% due 01/15/2040		135,000		168,160
				3,017,196
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc. Company Guar. Notes 3.55% due 06/01/2022		625,000		659,786
Waste Management, Inc. Company Guar. Notes 6.10% due 03/15/2018		100,000		109,233
				769,019
Oil Companies-Exploration & Production — 0.8%
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		1,441,000		1,453,687
Anadarko Petroleum Corp. Senior Notes 5.95% due 09/15/2016		300,000		305,209
Anadarko Petroleum Corp. Senior Notes 6.20% due 03/15/2040		200,000		192,410
Anadarko Petroleum Corp. Senior Notes 6.38% due 09/15/2017		125,000		130,997

265

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036	$	399,000	$	398,421
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		700,000		714,641
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		205,000		221,890
Carrizo Oil & Gas, Inc. Company Guar. Notes 6.25% due 04/15/2023		90,000		79,312
ConocoPhillips Company Guar. Notes 5.90% due 10/15/2032		300,000		304,676
ConocoPhillips Company Guar. Notes 6.50% due 02/01/2039		255,000		278,832
Denbury Resources, Inc. Company Guar. Notes 5.50% due 05/01/2022		113,000		50,850
Devon Energy Corp. Senior Notes 2.25% due 12/15/2018		310,000		289,320
Devon Financing Corp. LLC Company Guar. Notes 7.88% due 09/30/2031		150,000		147,087
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026		170,000		176,775
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		97,000		45,105
EV Energy Partners LP/EV Energy Finance Corp. Company Guar. Notes 8.00% due 04/15/2019		96,000		24,000
Halcon Resources Corp. Sec. Notes 12.00% due 02/15/2022*		23,000		15,294
Hess Corp. Senior Notes 1.30% due 06/15/2017		485,000		479,285
Hess Corp. Senior Notes 5.60% due 02/15/2041		538,000		477,893
Hess Corp. Senior Notes 6.00% due 01/15/2040		305,000		281,021
Hess Corp. Senior Notes 7.30% due 08/15/2031		150,000		159,494
Hess Corp. Senior Notes 7.88% due 10/01/2029		326,000		354,513

Security Description	Principal Amount(17)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*	$	69,000	$	58,132
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		425,000		449,846
Laredo Petroleum, Inc. Company Guar. Notes 7.38% due 05/01/2022		85,000		72,250
Legacy Reserves LP/Legacy Reserves Finance Corp. Company Guar. Notes 6.63% due 12/01/2021		59,000		11,210
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026		90,000		81,900
Noble Energy, Inc. Senior Notes 3.90% due 11/15/2024		177,000		166,607
Noble Energy, Inc. Senior Notes 4.15% due 12/15/2021		390,000		389,330
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044		30,000		25,551
Northern Oil and Gas, Inc. Senior Notes 8.00% due 06/01/2020		174,000		110,055
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022		120,000		88,800
Occidental Petroleum Corp. Senior Notes 4.40% due 04/15/2046(21)		117,000		117,759
Penn Virginia Corp. Company Guar. Notes 7.25% due 04/15/2019(21)		60,000		7,500
Pioneer Natural Resources Co. Senior Notes 3.45% due 01/15/2021		725,000		721,177
Pioneer Natural Resources Co. Senior Notes 4.45% due 01/15/2026		405,000		408,185
Rex Energy Corp. Sec. Notes 1.00% due 10/01/2020*		68,510		6,800
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023		98,000		52,920
SM Energy Co. Senior Notes 5.63% due 06/01/2025		56,000		38,903
SM Energy Co. Senior Notes 6.50% due 01/01/2023		16,000		11,280

266

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Southwestern Energy Co. Senior Notes 3.30% due 01/23/2018	$	50,000	$	40,000
				9,438,917
Oil Companies-Integrated — 0.4%
Chevron Corp. Senior Notes 1.37% due 03/02/2018		200,000		200,712
Chevron Corp. Senior Notes 1.96% due 03/03/2020		110,000		111,477
ConocoPhillips Co. Company Guar. Notes 1.50% due 05/15/2018		79,000		77,805
ConocoPhillips Co. Company Guar. Notes 3.35% due 11/15/2024		235,000		227,019
ConocoPhillips Co. Company Guar. Notes 4.20% due 03/15/2021		610,000		637,032
ConocoPhillips Co. Company Guar. Notes 4.95% due 03/15/2026		580,000		605,486
Exxon Mobil Corp. Senior Notes 1.31% due 03/06/2018		202,000		202,907
Exxon Mobil Corp. Senior Notes 2.22% due 03/01/2021		690,000		702,214
Exxon Mobil Corp. Senior Notes 2.73% due 03/01/2023		985,000		1,001,786
Exxon Mobil Corp. Senior Notes 3.04% due 03/01/2026		354,000		362,305
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		595,000		504,919
				4,633,662
Oil Refining & Marketing — 0.1%
Calumet Specialty Products Partner LP/Calumet Finance Corp. Company Guar. Notes 6.50% due 04/15/2021		100,000		71,000
Murphy Oil USA, Inc. Company Guar. Notes 6.00% due 08/15/2023		83,000		85,905
PBF Holding Co LLC/PBF Finance Corp. Senior Sec. Notes 7.00% due 11/15/2023*		80,000		75,900
Valero Energy Corp. Senior Notes 6.13% due 02/01/2020		325,000		356,851
				589,656

Security Description	Principal Amount(17)		Value (Note 2)
Oil-Field Services — 0.1%
Halliburton Co. Senior Notes 2.70% due 11/15/2020	$	415,000	$	421,318
Halliburton Co. Senior Notes 3.38% due 11/15/2022		395,000		401,979
				823,297
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		84,000		80,115
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		83,000		84,450
Georgia-Pacific LLC Senior Notes 3.60% due 03/01/2025*		373,000		385,871
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		396,000		412,211
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		127,000		141,874
International Paper Co. Senior Notes 7.30% due 11/15/2039		200,000		238,067
PH Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020		81,000		79,785
				1,422,373
Pharmacy Services — 0.0%
Express Scripts Holding Co. Company Guar. Notes 4.50% due 02/25/2026		148,000		153,234
Pipelines — 0.8%
Columbia Pipeline Group, Inc. Company Guar. Notes 2.45% due 06/01/2018*		41,000		40,588
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		260,000		225,553
Energy Transfer Partners LP Senior Notes 4.05% due 03/15/2025		275,000		242,023
Energy Transfer Partners LP Senior Notes 4.15% due 10/01/2020		425,000		408,339
Energy Transfer Partners LP Senior Notes 4.75% due 01/15/2026		540,000		490,726
Energy Transfer Partners LP Senior Notes 4.90% due 03/15/2035		111,000		87,884
Energy Transfer Partners LP Senior Notes 5.15% due 02/01/2043		260,000		200,511

267

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Energy Transfer Partners LP Senior Notes 5.15% due 03/15/2045	$	69,000	$	53,638
Energy Transfer Partners LP Senior Notes 5.20% due 02/01/2022		175,000		166,062
Energy Transfer Partners LP Senior Notes 6.13% due 02/15/2017		300,000		307,278
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		270,000		247,882
Energy Transfer Partners LP Senior Notes 9.00% due 04/15/2019		47,000		50,147
Enterprise Products Operating LLC Company Guar. Notes 4.85% due 08/15/2042		185,000		171,627
Enterprise Products Operating LLC Company Guar. Notes 4.85% due 03/15/2044		155,000		145,405
Enterprise Products Operating LLC Company Guar. Notes 4.90% due 05/15/2046		100,000		96,119
Enterprise Products Operating LLC Company Guar. Notes 5.95% due 02/01/2041		140,000		143,670
Enterprise Products Operating LLC Company Guar. Notes 6.50% due 01/31/2019		700,000		766,907
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024		93,000		78,120
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.00% due 05/15/2023		100,000		88,000
Kinder Morgan Energy Partners LP Company Guar. Notes 3.50% due 03/01/2021		285,000		274,340
Kinder Morgan Energy Partners LP Company Guar. Notes 4.70% due 11/01/2042		88,000		69,130
Kinder Morgan Energy Partners LP Company Guar. Notes 5.00% due 08/15/2042		675,000		562,843
Kinder Morgan Energy Partners LP Company Guar. Notes 5.30% due 09/15/2020		120,000		125,010
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		156,000		166,161
Kinder Morgan Energy Partners LP Company Guar. Notes 6.85% due 02/15/2020		80,000		87,412

Security Description	Principal Amount(17)		Value (Note 2)
Pipelines (continued)
Kinder Morgan, Inc. Company Guar. Notes 5.00% due 02/15/2021*	$	115,000	$	117,354
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		975,000		829,695
Kinder Morgan, Inc. Company Guar. Notes 5.63% due 11/15/2023*		620,000		629,030
Magellan Midstream Partners LP Senior Notes 5.00% due 03/01/2026		175,000		189,250
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		425,000		412,883
Rose Rock Midstream LP/Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022		87,000		57,855
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022		29,000		20,590
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		320,000		293,748
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		59,000		58,484
Williams Partners LP Senior Notes 3.60% due 03/15/2022		1,060,000		872,822
Williams Partners LP Senior Notes 3.90% due 01/15/2025		350,000		282,985
Williams Partners LP Senior Notes 4.30% due 03/04/2024		415,000		345,120
				9,405,191
Power Converter/Supply Equipment — 0.0%
Hubbell, Inc. Senior Notes 3.35% due 03/01/2026		140,000		140,620
Printing-Commercial — 0.0%
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022		150,000		124,500
Publishing-Newspapers — 0.0%
Lee Enterprises, Inc. Senior Sec. Notes 9.50% due 03/15/2022*		130,000		127,887

268

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Publishing-Newspapers (continued)
McClatchy Co. Senior Sec. Notes 9.00% due 12/15/2022	$	95,000	$	87,638
				215,525
Publishing-Periodicals — 0.0%
Expo Event Transco, Inc. Senior Notes 9.00% due 06/15/2021*		150,000		143,250
Time, Inc. Company Guar. Notes 5.75% due 04/15/2022*		52,000		46,134
				189,384
Real Estate Investment Trusts — 1.1%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		470,000		481,815
American Tower Corp. Senior Notes 3.45% due 09/15/2021		800,000		818,034
American Tower Corp. Senior Notes 5.00% due 02/15/2024		380,000		417,001
Brandywine Operating Partnership LP Company Guar. Notes 4.10% due 10/01/2024		335,000		331,668
Brandywine Operating Partnership LP Company Guar. Notes 4.95% due 04/15/2018		200,000		208,524
Brandywine Operating Partnership LP Company Guar. Notes 5.70% due 05/01/2017		315,000		325,863
Communications Sales & Leasing, Inc./CSL Capital LLC Senior Sec. Notes 6.00% due 04/15/2023*		54,000		52,515
Communications Sales & Leasing, Inc./CSL Capital LLC Company Guar. Notes 8.25% due 10/15/2023		56,000		51,800
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.88% due 06/01/2021		128,000		128,640
Duke Realty LP Company Guar. Notes 3.63% due 04/15/2023		450,000		452,422
Duke Realty LP Company Guar. Notes 5.95% due 02/15/2017		2,000		2,073
DuPont Fabros Technology LP Company Guar. Notes 5.63% due 06/15/2023		100,000		102,500

Security Description	Principal Amount(17)		Value (Note 2)
Real Estate Investment Trusts (continued)
Equinix, Inc. Senior Notes 5.88% due 01/15/2026	$	85,000	$	89,633
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		76,000		73,910
HCP, Inc. Senior Notes 3.15% due 08/01/2022		800,000		765,721
HCP, Inc. Senior Notes 3.75% due 02/01/2019		615,000		634,592
HCP, Inc. Senior Notes 4.20% due 03/01/2024		60,000		59,219
HCP, Inc. Senior Notes 4.25% due 11/15/2023		570,000		572,239
HCP, Inc. Senior Notes 6.30% due 09/15/2016		300,000		306,103
iStar, Inc. Senior Notes 6.50% due 07/01/2021		113,000		110,034
Kimco Realty Corp. Senior Notes 3.13% due 06/01/2023		590,000		584,039
Kimco Realty Corp. Senior Notes 3.40% due 11/01/2022		345,000		349,719
Kimco Realty Corp. Senior Notes 4.30% due 02/01/2018		150,000		155,693
Liberty Property LP Senior Notes 3.75% due 04/01/2025		300,000		298,954
Liberty Property LP Senior Notes 4.13% due 06/15/2022		300,000		312,432
Liberty Property LP Senior Notes 4.75% due 10/01/2020		80,000		86,393
Liberty Property LP Senior Notes 5.50% due 12/15/2016		110,000		112,986
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027		217,000		207,668
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024		174,000		177,217
Omega Healthcare Investors, Inc. Company Guar. Notes 5.25% due 01/15/2026		150,000		152,952
Realty Income Corp. Senior Notes 3.25% due 10/15/2022		530,000		523,087

269

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Realty Income Corp. Senior Notes 6.75% due 08/15/2019	$	160,000	$	182,424
Simon Property Group LP Senior Notes 1.50% due 02/01/2018*		375,000		375,696
Simon Property Group LP Senior Notes 2.50% due 07/15/2021		710,000		725,501
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 2.00% due 02/15/2018		1,050,000		1,051,352
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 3.25% due 08/15/2022		320,000		320,573
Welltower, Inc. Senior Notes 4.50% due 01/15/2024		550,000		570,948
Welltower, Inc. Senior Notes 5.25% due 01/15/2022		300,000		327,589
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032		500,000		610,729
				13,110,258
Real Estate Management/Services — 0.0%
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024		125,000		122,188
Real Estate Operations & Development — 0.1%
Greystar Real Estate Partners LLC Senior Sec. Notes 8.25% due 12/01/2022*		126,000		130,095
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		200,000		208,347
Prologis LP Company Guar. Notes 4.00% due 01/15/2018		185,000		191,483
Prologis LP Company Guar. Notes 4.25% due 08/15/2023		775,000		835,888
				1,365,813
Rental Auto/Equipment — 0.0%
ERAC USA Finance LLC Company Guar. Notes 2.80% due 11/01/2018*		110,000		111,690
ERAC USA Finance LLC Company Guar. Notes 3.30% due 10/15/2022*		10,000		10,166
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		215,000		274,228

Security Description	Principal Amount(17)		Value (Note 2)
Rental Auto/Equipment (continued)
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023	$	50,000	$	49,688
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		50,000		49,739
				495,511
Retail-Appliances — 0.0%
Conn's, Inc. Company Guar. Notes 7.25% due 07/15/2022		136,000		106,760
Retail-Auto Parts — 0.1%
AutoZone, Inc. Senior Notes 3.70% due 04/15/2022		1,148,000		1,199,156
AutoZone, Inc. Senior Notes 4.00% due 11/15/2020		425,000		453,335
O'Reilly Automotive, Inc. Company Guar. Notes 3.55% due 03/15/2026		49,000		50,412
				1,702,903
Retail-Building Products — 0.3%
Home Depot, Inc. Senior Notes 2.00% due 04/01/2021		89,000		89,892
Home Depot, Inc. Senior Notes 2.70% due 04/01/2023		425,000		441,398
Home Depot, Inc. Senior Notes 3.00% due 04/01/2026		91,000		95,529
Home Depot, Inc. Senior Notes 3.35% due 09/15/2025		370,000		400,941
Home Depot, Inc. Senior Notes 4.40% due 04/01/2021		720,000		806,162
Home Depot, Inc. Senior Notes 5.88% due 12/16/2036		470,000		611,575
Lowe's Cos, Inc. Senior Notes 3.38% due 09/15/2025		400,000		428,885
Lowe's Cos., Inc. Senior Notes 4.38% due 09/15/2045		190,000		211,109
				3,085,491
Retail-Computer Equipment — 0.0%
GameStop Corp. Company Guar. Notes 5.50% due 10/01/2019*		75,000		72,000
Retail-Discount — 0.1%
Costco Wholesale Corp. Senior Notes 2.25% due 02/15/2022		206,000		208,912

270

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Discount (continued)
Dollar General Corp. Company Guar. Notes 4.13% due 07/15/2017	$	168,000	$	173,425
Wal-Mart Stores, Inc. Senior Notes 5.63% due 04/15/2041		580,000		749,983
Wal-Mart Stores, Inc. Senior Notes 6.20% due 04/15/2038		275,000		372,160
				1,504,480
Retail-Drug Store — 0.5%
CVS Health Corp. Senior Notes 2.75% due 12/01/2022		600,000		616,261
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		1,935,000		2,008,245
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		460,000		496,397
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		1,230,000		1,424,490
CVS Health Corp. Senior Notes 5.75% due 05/15/2041		480,000		586,602
CVS Pass-Through Trust Pass-Through Certs. 4.70% due 01/10/2036*		90,318		94,069
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		64,708		70,099
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		118,186		130,791
				5,426,954
Retail-Pawn Shops — 0.0%
Cash America International, Inc. Company Guar. Notes 5.75% due 05/15/2018		75,000		74,250
Retail-Regional Department Stores — 0.0%
Kohl's Corp. Senior Notes 5.55% due 07/17/2045		46,000		41,632
Retail-Restaurants — 0.1%
Landry's, Inc. Company Guar. Notes 9.38% due 05/01/2020*		94,000		98,700
McDonald's Corp. Senior Notes 2.75% due 12/09/2020		430,000		445,363
McDonald's Corp. Senior Notes 3.70% due 01/30/2026		117,000		123,920

Security Description	Principal Amount(17)		Value (Note 2)
Retail-Restaurants (continued)
McDonald's Corp. Senior Notes 4.70% due 12/09/2035	$	84,000	$	90,267
McDonald's Corp. Senior Notes 4.88% due 12/09/2045		703,000		768,004
PF Chang's China Bistro, Inc. Company Guar. Notes 10.25% due 06/30/2020*		198,000		179,190
				1,705,444
Rubber-Tires — 0.0%
Goodyear Tire & Rubber Co. Company Guar. Notes 5.13% due 11/15/2023		50,000		51,125
Rubber/Plastic Products — 0.0%
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022*		100,000		85,500
Satellite Telecom — 0.0%
Hughes Satellite Systems Corp. Company Guar. Notes 7.63% due 06/15/2021		115,000		128,225
Savings & Loans/Thrifts — 0.1%
Astoria Financial Corp. Senior Notes 5.00% due 06/19/2017		164,000		169,188
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		789,000		893,186
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		332,000		386,325
				1,448,699
Schools — 0.0%
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		76,000		77,441
University of Pennsylvania Senior Notes 4.67% due 09/01/2112		79,000		84,494
				161,935
Semiconductor Components-Integrated Circuits — 0.1%
QUALCOMM, Inc. Senior Notes 4.65% due 05/20/2035		625,000		641,544
Steel Pipe & Tube — 0.0%
Valmont Industries, Inc. Company Guar. Notes 5.25% due 10/01/2054		239,000		205,506
Steel-Producers — 0.0%
AK Steel Corp. Senior Sec. Notes 8.75% due 12/01/2018		150,000		144,000

271

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Steel-Producers (continued)
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021	$	58,000	$	58,580
				202,580
Telecommunication Equipment — 0.0%
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023*		33,000		32,423
Telephone-Integrated — 1.4%
AT&T, Inc. Senior Notes 2.40% due 03/15/2017		625,000		632,294
AT&T, Inc. Senior Notes 3.00% due 06/30/2022		1,792,000		1,818,056
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		560,000		581,770
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		210,000		221,295
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		192,000		175,890
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		609,000		600,534
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		707,000		689,648
AT&T, Inc. Senior Notes 5.15% due 03/15/2042		735,000		740,845
AT&T, Inc. Senior Notes 5.35% due 09/01/2040		806,000		847,481
AT&T, Inc. Senior Notes 5.65% due 02/15/2047		580,000		640,155
AT&T, Inc. Senior Notes 5.80% due 02/15/2019		96,000		106,897
AT&T, Inc. Senior Notes 6.38% due 03/01/2041		100,000		116,436
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2025		22,000		19,690
CenturyLink, Inc. Senior Notes 7.50% due 04/01/2024		85,000		85,212
Frontier Communications Corp. Senior Notes 8.50% due 04/15/2020		56,000		57,926
Frontier Communications Corp. Senior Notes 9.25% due 07/01/2021		26,000		26,520

Security Description	Principal Amount(17)		Value (Note 2)
Telephone-Integrated (continued)
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*	$	67,000	$	68,675
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025*		194,000		194,970
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020		1,115,000		1,147,266
Verizon Communications, Inc. Senior Notes 3.00% due 11/01/2021		181,000		188,063
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		1,560,000		1,552,187
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		79,000		79,865
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		1,901,000		1,904,234
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		1,720,000		1,651,200
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		464,000		489,298
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		205,000		205,662
Verizon Communications, Inc. Senior Notes 5.15% due 09/15/2023		1,630,000		1,881,367
Verizon Communications, Inc. Senior Notes 6.40% due 09/15/2033		11,000		13,530
				16,736,966
Television — 0.0%
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026		340,000		355,130
Theaters — 0.0%
National CineMedia LLC Senior Sec. Notes 6.00% due 04/15/2022		50,000		51,875
Tobacco — 0.1%
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022		675,000		697,243
Altria Group, Inc. Company Guar. Notes 9.25% due 08/06/2019		31,000		38,304
Altria Group, Inc. Company Guar. Notes 9.95% due 11/10/2038		41,000		72,102

272

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Tobacco (continued)
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020	$	356,000	$	372,289
				1,179,938
Transport-Rail — 0.3%
Burlington Northern Santa Fe LLC Senior Notes 4.70% due 10/01/2019		500,000		552,540
Kansas City Southern Company Guar. Notes 3.00% due 05/15/2023*		2,100,000		2,038,728
Union Pacific Corp. Senior Notes 2.75% due 03/01/2026		150,000		152,532
Union Pacific Corp. Senior Notes 4.05% due 11/15/2045		250,000		256,404
Union Pacific Corp. Senior Notes 4.38% due 11/15/2065		130,000		128,811
				3,129,015
Transport-Services — 0.2%
FedEx Corp. Company Guar. Notes 3.25% due 04/01/2026		175,000		179,584
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045		480,000		456,593
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		355,000		364,836
Ryder System, Inc. Senior Notes 2.45% due 09/03/2019		1,035,000		1,035,972
United Parcel Service, Inc. Senior Notes 2.45% due 10/01/2022		215,000		223,490
				2,260,475
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		163,000		167,279
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.88% due 07/17/2018*		150,000		151,088
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.38% due 02/01/2022*		69,000		68,507
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.25% due 01/17/2023*		15,000		15,199

Security Description	Principal Amount(17)		Value (Note 2)
Trucking/Leasing (continued)
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*	$	1,060,000	$	1,131,843
				1,366,637
Wire & Cable Products — 0.0%
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022		287,000		226,730
Total U.S. Corporate Bonds & Notes (cost $311,697,232)				317,998,526
FOREIGN CORPORATE BONDS & NOTES — 4.6%
Agricultural Chemicals — 0.1%
Agrium, Inc. Senior Notes 3.38% due 03/15/2025		295,000		283,923
Agrium, Inc. Senior Notes 4.90% due 06/01/2043		200,000		190,334
Agrium, Inc. Senior Notes 7.70% due 02/01/2017		100,000		105,105
				579,362
Airlines — 0.0%
Air Canada Senior Sec. Notes 6.75% due 10/01/2019*		80,000		82,800
Auto-Cars/Light Trucks — 0.0%
Volkswagen International Finance NV Company Guar. Notes 2.38% due 03/22/2017*		114,000		114,488
Banks-Commercial — 1.2%
Abbey National Treasury Services PLC Company Guar. Notes 2.35% due 09/10/2019		675,000		677,525
Abbey National Treasury Services PLC Company Guar. Notes 2.50% due 03/14/2019		169,000		170,611
Bank of Nova Scotia/The Sub. Notes 4.50% due 12/16/2025		1,911,000		1,907,812
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		2,240,000		2,361,468
Barclays Bank PLC VRS Sub. Notes 7.75% due 04/10/2023		200,000		210,000
BPCE SA Sub. Notes 4.50% due 03/15/2025*		248,000		245,545
BPCE SA Sub. Notes 5.15% due 07/21/2024*		1,130,000		1,154,211

273

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
BPCE SA Sub. Notes 5.70% due 10/22/2023*	$	375,000	$	397,205
Credit Suisse AG Senior Notes 1.38% due 05/26/2017		740,000		737,900
Credit Suisse AG Senior Notes 1.70% due 04/27/2018		188,000		187,184
Credit Suisse AG Senior Notes 3.00% due 10/29/2021		300,000		306,009
DBS Group Holdings, Ltd. Senior Notes 2.25% due 07/16/2019*		260,000		262,468
Intesa Sanpaolo SpA Sub. Notes 5.71% due 01/15/2026*		975,000		946,237
Kookmin Bank Senior Notes 1.63% due 07/14/2017*		606,000		606,631
National Bank of Canada Company Guar. Notes 1.45% due 11/07/2017		389,000		388,981
National Bank of Canada Bank Guar. Notes 2.10% due 12/14/2018		253,000		254,733
Rabobank Nederland Bank Guar. Notes 5.25% due 08/04/2045		815,000		881,392
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026		230,000		233,947
Santander Issuances SAU Company Guar. Notes 5.18% due 11/19/2025		3,000,000		2,899,053
				14,828,912
Beverages-Non-alcoholic — 0.0%
Coca-Cola Femsa SAB de CV Company Guar. Notes 2.38% due 11/26/2018		294,000		298,464
Beverages-Wine/Spirits — 0.0%
Diageo Capital PLC Company Guar. Notes 5.75% due 10/23/2017		207,000		220,761
Broadcast Services/Program — 0.0%
Grupo Televisa SAB Senior Notes 6.13% due 01/31/2046		420,000		445,200
Building-Residential/Commercial — 0.0%
Mattamy Group Corp. Company Guar. Notes 6.50% due 11/15/2020*		108,000		97,200

Security Description	Principal Amount(17)		Value (Note 2)
Cable/Satellite TV — 0.1%
Altice Financing SA Senior Sec. Notes 6.63% due 02/15/2023*	$	200,000	$	200,500
Altice Luxembourg SA Company Guar. Notes 7.75% due 05/15/2022*		200,000		196,816
Sky PLC Company Guar. Notes 2.63% due 09/16/2019*		765,000		772,938
Sky PLC Company Guar. Notes 6.10% due 02/15/2018*		200,000		214,667
				1,384,921
Cellular Telecom — 0.1%
America Movil SAB de CV Company Guar. Notes 2.38% due 09/08/2016		340,000		341,422
Digicel Group, Ltd. Senior Notes 7.13% due 04/01/2022		525,000		408,135
				749,557
Chemicals-Diversified — 0.0%
NOVA Chemicals Corp. Senior Notes 5.00% due 05/01/2025*		70,000		68,075
Chemicals-Plastics — 0.0%
Mexichem SAB de CV Company Guar. Notes 5.88% due 09/17/2044*		207,000		185,524
Consumer Products-Misc. — 0.0%
Kimberly-Clark de Mexico SAB de CV Senior Notes 3.25% due 03/12/2025*		180,000		179,222
Cruise Lines — 0.0%
NCL Corp., Ltd. Senior Notes 4.63% due 11/15/2020*		80,000		80,400
Royal Caribbean Cruises, Ltd. Senior Notes 5.25% due 11/15/2022		46,000		48,530
Viking Cruises, Ltd. Senior Notes 6.25% due 05/15/2025*		200,000		167,500
				296,430
Diversified Banking Institutions — 0.7%
BNP Paribas SA Company Guar. Notes 2.40% due 12/12/2018		190,000		193,114
Credit Agricole SA Sub. Notes 4.38% due 03/17/2025*		515,000		504,293
Credit Agricole SA FRS Sub. Notes 8.13% due 09/19/2033*		225,000		244,125

274

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Credit Suisse Group Guernsey I, Ltd. FRS Company Guar. Notes 7.88% due 02/24/2041	$	230,000	$	232,990
Deutsche Bank AG Senior Notes 1.88% due 02/13/2018		272,000		270,269
Deutsche Bank AG Sub. Notes 4.50% due 04/01/2025		265,000		230,325
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021		1,378,000		1,406,239
HSBC Holdings PLC Sub. Notes 4.25% due 08/18/2025		1,405,000		1,387,959
HSBC Holdings PLC Senior Notes 4.30% due 03/08/2026		210,000		217,101
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021		200,000		219,998
HSBC Holdings PLC Sub. Notes 5.25% due 03/14/2044		235,000		238,343
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		1,550,000		1,875,168
JPMorgan Chase & Co. Senior Notes 4.50% due 01/24/2022		505,000		557,293
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.95% due 03/01/2021		286,000		291,388
Mitsubishi UFJ Financial Group, Inc. Senior Notes 3.85% due 03/01/2026		255,000		265,241
UBS Group Funding Jersey, Ltd. Company Guar. Notes 4.13% due 04/15/2026*		200,000		199,845
				8,333,691
Diversified Financial Services — 0.1%
GE Capital International Funding Co. Company Guar. Notes 0.96% due 04/15/2016*		728,000		728,040
Diversified Manufacturing Operations — 0.0%
Ingersoll-Rand Luxembourg Finance SA Company Guar. Notes 4.65% due 11/01/2044		75,000		77,237
Diversified Minerals — 0.0%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 8.25% due 11/01/2019*		90,000		85,950

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Minerals (continued)
FMG Resources August 2006 Pty, Ltd. Senior Sec. Notes 9.75% due 03/01/2022*	$	155,000	$	154,613
Teck Resources, Ltd. Company Guar. Notes 2.50% due 02/01/2018		91,000		79,625
				320,188
Diversified Operations — 0.1%
Hutchison Whampoa International 09/19, Ltd. Company Guar. Notes 5.75% due 09/11/2019*		230,000		257,763
Hutchison Whampoa International 11, Ltd. Company Guar. Notes 3.50% due 01/13/2017*		955,000		969,540
				1,227,303
Electric-Generation — 0.2%
Electricite de France SA Senior Notes 2.35% due 10/13/2020*		523,000		528,333
Electricite de France SA Senior Notes 3.63% due 10/13/2025*		96,000		97,936
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		1,435,000		1,479,485
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		85,000		86,979
				2,192,733
Electronic Components-Misc. — 0.0%
Flextronics International, Ltd. Company Guar. Notes 4.75% due 06/15/2025		55,000		53,763
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 4.63% due 12/15/2018		9,000		9,292
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		64,000		66,760
Fly Leasing, Ltd. Senior Notes 6.38% due 10/15/2021		200,000		189,500
Lincoln Finance, Ltd. Senior Sec. Notes 7.38% due 04/15/2021*		215,000		223,600
				489,152
Gambling (Non-Hotel) — 0.0%
International Game Technology PLC Senior Sec. Notes 6.25% due 02/15/2022*		200,000		203,460

275

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Gold Mining — 0.0%
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044	$	84,000	$	76,567
Kinross Gold Corp. Company Guar. Notes 5.95% due 03/15/2024		54,000		45,918
				122,485
Insurance-Life/Health — 0.1%
AIA Group, Ltd. Senior Notes 4.50% due 03/16/2046*		204,000		204,916
Manulife Financial Corp. Senior Notes 4.15% due 03/04/2026		595,000		607,871
				812,787
Insurance-Multi-line — 0.0%
XLIT, Ltd. Company Guar. Notes 4.45% due 03/31/2025		93,000		92,089
XLIT, Ltd. Company Guar. Notes 5.50% due 03/31/2045		208,000		199,569
				291,658
Insurance-Property/Casualty — 0.0%
Allied World Assurance Co. Holdings, Ltd. Company Guar. Notes 4.35% due 10/29/2025		87,000		87,175
Machinery-General Industrial — 0.0%
ATS Automation Tooling Systems, Inc. Senior Notes 6.50% due 06/15/2023*		139,000		142,996
Medical-Drugs — 0.1%
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037		315,000		418,759
Takeda Pharmaceutical Co., Ltd. Senior Notes 1.63% due 03/17/2017*		248,000		248,709
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.38% due 03/15/2020*		150,000		122,250
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.63% due 12/01/2021*		27,000		21,262
				810,980
Medical-Generic Drugs — 0.5%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		3,280,000		3,318,743

Security Description	Principal Amount(17)		Value (Note 2)
Medical-Generic Drugs (continued)
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020	$	1,238,000	$	1,272,922
Actavis Funding SCS Company Guar. Notes 4.75% due 03/15/2045		475,000		499,560
Mylan NV Company Guar. Notes 3.00% due 12/15/2018*		345,000		349,734
Mylan NV Company Guar. Notes 3.75% due 12/15/2020*		395,000		404,150
Perrigo Co. PLC Senior Notes 1.30% due 11/08/2016		320,000		318,502
Perrigo Finance Unlimited Co. Company Guar. Notes 3.50% due 03/15/2021		265,000		271,556
Perrigo Finance Unlimited Co. Company Guar. Notes 3.50% due 12/15/2021		205,000		208,959
				6,644,126
Metal-Diversified — 0.1%
Rio Tinto Finance USA PLC Company Guar. Notes 1.38% due 06/17/2016		500,000		499,751
Rio Tinto Finance USA, Ltd. Company Guar. Notes 3.75% due 06/15/2025		235,000		229,025
				728,776
Oil Companies-Exploration & Production — 0.1%
Baytex Energy Corp. Company Guar. Notes 5.13% due 06/01/2021*		15,000		10,575
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024*		80,000		53,800
Canadian Natural Resources, Ltd. Senior Notes 6.25% due 03/15/2038		40,000		36,793
Encana Corp. Senior Notes 3.90% due 11/15/2021		1,025,000		898,156
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		74,000		43,660
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		75,000		45,281
Nexen Energy ULC Company Guar. Notes 6.20% due 07/30/2019		100,000		110,420
Zhaikmunai LLP Company Guar. Notes 7.13% due 11/13/2019		275,000		217,993
				1,416,678

276

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated — 0.7%
BP Capital Markets PLC Company Guar. Notes 1.38% due 11/06/2017	$	25,000	$	24,919
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		15,000		15,230
BP Capital Markets PLC Company Guar. Notes 3.06% due 03/17/2022		1,550,000		1,579,679
BP Capital Markets PLC Company Guar. Notes 3.25% due 05/06/2022		95,000		97,767
BP Capital Markets PLC Company Guar. Notes 3.54% due 11/04/2024		54,000		55,169
Cenovus Energy, Inc. Senior Notes 3.00% due 08/15/2022		125,000		111,139
Cenovus Energy, Inc. Senior Notes 3.80% due 09/15/2023		1,385,000		1,244,565
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		525,000		428,683
Cenovus Energy, Inc. Senior Notes 5.70% due 10/15/2019		755,000		757,656
Ecopetrol SA Senior Notes 5.88% due 05/28/2045		555,000		436,896
Petrobras Global Finance BV Company Guar. Notes 5.38% due 10/01/2029(10)	GBP	450,000		400,987
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041		590,000		424,210
Petroleos Mexicanos Company Guar. Notes 5.50% due 02/04/2019*		350,000		366,625
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		61,000		50,685
Petroleos Mexicanos Company Guar. Notes 6.38% due 02/04/2021*		180,000		191,970
Shell International Finance BV Company Guar. Notes 1.25% due 11/10/2017		149,000		149,178
Shell International Finance BV Company Guar. Notes 2.13% due 05/11/2020		152,000		153,409
Shell International Finance BV Company Guar. Notes 2.25% due 11/10/2020		172,000		174,459

Security Description	Principal Amount(17)		Value (Note 2)
Oil Companies-Integrated (continued)
Statoil ASA Company Guar. Notes 1.95% due 11/08/2018	$	1,030,000	$	1,038,711
Total Capital International SA Company Guar. Notes 3.75% due 04/10/2024		275,000		289,350
				7,991,287
Paper & Related Products — 0.0%
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*		85,000		80,219
Printing-Commercial — 0.0%
Cimpress NV Company Guar. Notes 7.00% due 04/01/2022*		150,000		148,500
Satellite Telecom — 0.0%
Intelsat Jackson Holdings SA Company Guar. Notes 7.25% due 04/01/2019		100,000		73,750
Intelsat Luxembourg SA Company Guar. Notes 7.75% due 06/01/2021		90,000		26,775
				100,525
Security Services — 0.0%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*		46,000		35,420
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 7.25% due 02/25/2022		86,000		85,097
ArcelorMittal Senior Notes 7.75% due 03/01/2041		50,000		42,750
				127,847
Telephone-Integrated — 0.1%
Deutsche Telekom International Finance BV Company Guar. Notes 3.13% due 04/11/2016*		250,000		250,091
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		205,000		214,862
Telefonos de Mexico SAB de CV Company Guar. Notes 5.50% due 11/15/2019		270,000		301,675
				766,628
Tobacco — 0.2%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		490,000		503,902
Imperial Tobacco Finance PLC Company Guar. Notes 2.05% due 07/20/2018*		400,000		401,072

277

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Tobacco (continued)
Imperial Tobacco Finance PLC Company Guar. Notes 2.95% due 07/21/2020*	$	1,050,000	$	1,079,411
Imperial Tobacco Finance PLC Company Guar. Notes 3.75% due 07/21/2022*		310,000		323,641
				2,308,026
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 4.50% due 01/15/2022		425,000		463,252
Canadian Pacific Railway Co. Senior Notes 5.95% due 05/15/2037		285,000		328,878
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115		112,000		120,087
				912,217
Total Foreign Corporate Bonds & Notes (cost $57,078,544)				56,684,813
U.S. GOVERNMENT AGENCIES — 26.1%
Federal Home Loan Bank — 0.3%
0.38% due 06/24/2016		2,365,000		2,364,986
1.88% due 12/09/2022		1,000,000		1,012,268
				3,377,254
Federal Home Loan Mtg. Corp. — 5.8%
0.88% due 03/07/2018		8,000,000		8,011,952
1.25% due 10/02/2019		1,272,000		1,277,476
2.00% due 08/25/2016		8,055,000		8,102,742
2.12% due 02/01/2037 FRS		68,303		70,894
2.38% due 01/13/2022		1,097,000		1,150,068
2.50% due 01/01/2028		201,071		207,433
2.50% due 04/01/2028		704,304		725,739
2.66% due 11/01/2037 FRS		423,028		446,531
3.00% due 08/01/2027		685,384		718,769
3.00% due 10/01/2042		391,932		404,151
3.00% due 11/01/2042		383,669		393,497
3.00% due 02/01/2043		1,214,788		1,245,923
3.00% due 04/01/2043		416,226		426,823
3.00% due 08/01/2043		1,675,708		1,719,648
3.00% due 07/01/2045		847,083		868,036
3.00% due 10/01/2045		766,342		785,298
3.00% due April TBA		4,000,000		4,095,625
3.50% due 11/01/2041		429,798		450,535
3.50% due 03/01/2042		191,133		200,302
3.50% due 08/01/2042		1,028,322		1,079,319
3.50% due 09/01/2043		165,357		174,144
3.50% due 03/01/2045		1,293,039		1,354,688
3.50% due 07/01/2045		453,065		474,757
3.50% due 08/01/2045		589,647		619,693
3.50% due 10/01/2045		1,159,740		1,214,941
3.50% due 11/01/2045		1,436,486		1,504,858
3.50% due 02/01/2046		638,383		668,768
3.50% due 03/01/2046		6,000,000		6,285,584

Security Description	Principal Amount(17)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
3.75% due 03/27/2019	$	796,000	$	861,317
4.00% due 09/01/2040		379,449		405,986
4.00% due 10/01/2043		950,795		1,015,741
4.00% due 07/01/2044		611,162		652,592
4.00% due 10/01/2045		639,608		683,344
4.00% due 11/01/2045		566,314		605,039
4.00% due April TBA		2,700,000		2,881,617
4.50% due 01/01/2039		16,087		17,464
4.50% due April TBA		2,600,000		2,824,205
5.00% due 11/01/2043		676,317		748,488
5.00% due April TBA		2,000,000		2,197,523
5.50% due 01/01/2036		303,020		340,883
6.00% due 03/01/2040		22,330		25,456
6.25% due 07/15/2032		206,000		301,212
6.75% due 03/15/2031		100,000		150,971
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.01% due 10/25/2047*(3)		730,000		727,309
Series 2012-K19, Class B 4.04% due 05/25/2045*(3)		20,037		20,929
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-DN2, Class M2 2.08% due 04/25/2024(1)		1,549,000		1,531,933
Series 2015-DNA1, Class M2 2.28% due 10/25/2027(1)		460,000		454,965
Series 2014-DN1, Class M2 2.63% due 02/25/2024(1)		867,000		865,614
Series 2014-HQ2, Class M2 2.63% due 09/25/2024(1)		500,000		493,708
Series 2015-HQ1, Class M2 2.63% due 03/25/2025(1)		1,822,000		1,827,999
Series 2014-DN4, Class M2 2.83% due 10/25/2024(1)		332,074		335,070
Series 2015-DN1, Class M2 2.83% due 01/25/2025(1)		530,000		536,764
Series 2015-DNA2, Class M2 3.03% due 12/25/2027(1)		2,227,000		2,227,698
Series 2015-HQA1, Class M2 3.08% due 03/25/2028(1)		1,135,000		1,133,580
Series DNA3, Class M2 3.28% due 04/25/2028(1)		2,810,000		2,828,940
Federal Home Loan Mtg. Corp., Structured Pass Through VRS Series K701, Class X1
0.25% due 11/25/2017(3)(4)		2,274,002		7,790
Series K013, Class X1 0.58% due 01/25/2021(3)(4)		2,129,763		50,399
				71,432,730
Federal National Mtg. Assoc. — 17.4%
Fannie Mae Connecticut Avenue Securities FRS Series 2014-C01, Class M1 2.03% due 01/25/2024(1)		820,736		819,517

278

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
Series 2013-C01, Class M1 2.43% due 10/25/2023(1)	$	76,183	$	76,484
Series 2014-C02, Class 2M2 3.03% due 05/25/2024(1)		60,000		54,173
Series 2014-C03, Class 2M2 3.33% due 07/25/2024(1)		255,000		233,504
Series 2014-C03, Class 1M2 3.43% due 07/25/2024(1)		345,000		316,942
Series 2014-C04, Class 1M2 5.33% due 11/25/2024(1)		150,000		151,281
Federal National Mtg. Assoc. zero coupon due 10/09/2019		7,452,000		7,080,004
0.88% due 10/26/2017		1,700,000		1,703,203
0.88% due 05/21/2018		5,955,000		5,962,319
2.37% due 09/01/2035 FRS		385,484		401,635
2.38% due 04/11/2016		1,245,000		1,245,753
2.39% due 05/01/2037 FRS		110,536		115,592
2.47% due 10/01/2035 FRS		415,989		439,746
2.49% due 07/01/2039 FRS		292,906		307,034
2.50% due 04/01/2028		467,895		484,261
2.50% due 02/01/2031		552,026		567,219
2.50% due April TBA		5,400,000		5,464,387
2.51% due 11/01/2036 FRS		185,814		196,343
2.58% due 10/01/2040 FRS		116,029		122,950
2.63% due 09/06/2024		2,025,000		2,134,390
2.64% due 03/01/2027		304,424		307,980
2.66% due 05/01/2040 FRS		412,135		434,561
2.67% due 10/01/2040 FRS		208,935		219,029
2.70% due 08/01/2035 FRS		236,573		249,315
2.78% due 03/01/2027		593,000		605,675
2.97% due 06/01/2027		1,090,000		1,130,540
2.97% due 06/01/2030		1,235,000		1,235,864
3.00% due 10/01/2027		692,283		724,876
3.00% due 11/01/2027		244,391		255,876
3.00% due 10/01/2030		569,425		595,123
3.00% due 03/01/2042		678,686		697,489
3.00% due 12/01/2042		200,661		206,297
3.00% due 05/01/2043		521,617		536,225
3.00% due 02/01/2045		469,301		481,756
3.00% due 06/01/2045		482,084		496,194
3.00% due April TBA		58,128,000		59,686,234
3.13% due 02/01/2027		402,000		422,326
3.50% due 08/01/2026		273,108		288,841
3.50% due 09/01/2026		331,832		351,609
3.50% due 08/01/2027		80,328		84,930
3.50% due 10/01/2028		107,900		114,862
3.50% due 03/01/2042		451,473		474,448
3.50% due 06/01/2042		309,245		324,966
3.50% due 07/01/2042		84,558		87,364
3.50% due 08/01/2042		1,067,314		1,117,139
3.50% due 08/01/2043		728,959		765,012
3.50% due 07/01/2045		385,237		404,332
3.50% due 08/01/2045		498,892		524,059
3.50% due 09/01/2045		830,670		871,344
3.50% due 10/01/2045		561,341		591,756
3.50% due 11/01/2045		836,900		878,981

Security Description	Principal Amount(17)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
3.50% due 01/01/2046	$	9,762,664	$	10,240,697
3.50% due April TBA		37,715,000		39,553,088
4.00% due 06/01/2039		218,570		238,143
4.00% due 10/01/2040		283,814		304,059
4.00% due 11/01/2040		413,076		442,590
4.00% due 10/01/2041		346,208		370,992
4.00% due 11/01/2041		362,988		388,937
4.00% due 10/01/2043		103,377		111,063
4.00% due 11/01/2043		324,601		346,795
4.00% due 12/01/2043		401,368		435,854
4.00% due 10/01/2044		1,128,838		1,206,435
4.00% due 11/01/2044		377,804		404,116
4.00% due 02/01/2045		369,087		395,278
4.00% due April TBA		25,451,000		27,160,971
4.50% due 10/01/2024		80,128		83,699
4.50% due 06/01/2039		287,106		315,182
4.50% due 05/01/2041		183,611		199,732
4.50% due 07/01/2041		115,696		125,922
4.50% due 03/01/2042		514,112		560,482
4.50% due 12/01/2044		194,371		211,354
4.50% due April TBA		14,704,000		15,999,790
5.00% due 05/01/2040		329,780		366,328
5.00% due 06/01/2040		42,943		47,610
5.00% due 07/01/2040		760,512		843,021
5.00% due April TBA		970,000		1,073,063
5.50% due 12/01/2029		63,699		71,386
5.50% due 08/01/2037		230,221		259,159
5.50% due 06/01/2038		156,080		176,896
5.50% due April TBA		1,900,000		2,130,645
6.00% due 11/01/2038		18,104		20,665
6.00% due 06/01/2040		145,881		166,654
6.50% due 10/01/2037		1,758		2,061
6.63% due 11/15/2030		871,000		1,294,431
7.25% due 05/15/2030		2,260,000		3,506,731
				212,095,569
Government National Mtg. Assoc. — 2.6%
3.00% due 02/20/2045		501,580		520,260
3.00% due 05/20/2045		383,641		397,928
3.00% due 07/20/2045		2,322,990		2,409,504
3.00% due 02/20/2046		5,888,071		6,107,358
3.00% due April TBA		446,000		462,002
3.50% due 03/20/2045		392,430		415,267
3.50% due 04/20/2045		604,541		639,721
3.50% due April TBA		6,200,000		6,546,953
4.00% due 03/15/2039		180,512		193,095
4.00% due 04/15/2039		15,556		16,640
4.00% due 05/15/2039		66,520		71,144
4.00% due 08/15/2039		18,742		20,143
4.00% due 10/15/2039		67,944		72,661
4.00% due 03/15/2040		65,730		70,448
4.00% due 09/15/2040		39,656		42,481
4.00% due 10/15/2040		39,143		41,970
4.00% due 12/15/2040		22,865		24,500
4.00% due 01/15/2041		27,583		29,499
4.00% due 02/15/2041		21,022		22,551
4.00% due 06/15/2041		173,998		187,259

279

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
4.00% due 07/15/2041	$	65,585	$	70,297
4.00% due 08/15/2041		553,458		594,048
4.00% due 09/15/2041		114,847		122,943
4.00% due 10/15/2041		225,419		241,528
4.00% due 11/15/2041		234,202		250,678
4.00% due 12/15/2041		248,062		265,644
4.00% due 01/15/2042		54,341		58,159
4.00% due 02/15/2042		20,476		21,953
4.00% due 03/15/2042		151,908		162,859
4.00% due 04/15/2042		8,278		8,853
4.00% due 03/20/2044		269,193		287,955
4.00% due April TBA		3,500,000		3,741,309
4.00% due May TBA		1,100,000		1,173,950
4.50% due 04/15/2018		11,758		12,114
4.50% due 05/15/2018		71,573		73,485
4.50% due 08/15/2018		4,034		4,144
4.50% due 09/15/2018		36,554		37,564
4.50% due 10/15/2018		184,080		189,773
4.50% due 09/15/2033		80,369		87,493
4.50% due 03/15/2039		143,664		156,768
4.50% due 05/15/2039		86,823		94,684
4.50% due 07/15/2039		52,292		57,044
4.50% due 10/15/2039		188,184		205,252
4.50% due 11/15/2039		5,379		5,852
4.50% due 01/15/2040		67,314		73,336
4.50% due 02/15/2040		87,329		95,474
4.50% due 03/15/2040		60,431		65,974
4.50% due 04/15/2040		3,544		3,862
4.50% due 05/15/2040		14,546		15,820
4.50% due 07/15/2040		56,148		62,020
4.50% due 04/15/2041		23,695		25,769
4.50% due 05/15/2041		200,256		219,031
4.50% due 06/15/2041		32,910		36,056
4.50% due 07/15/2041		165,103		179,881
4.50% due 08/15/2041		100,438		109,396
5.00% due 06/15/2033		4,296		4,807
5.00% due 08/15/2033		26,875		30,141
5.00% due 09/15/2033		52,759		59,173
5.00% due 10/15/2033		28,984		32,347
5.00% due 11/15/2033		6,087		6,872
5.00% due 06/15/2034		111,511		125,088
5.00% due 05/15/2035		3,699		4,080
5.00% due 09/15/2035		3,841		4,307
5.00% due 11/15/2035		170,944		190,107
5.00% due 02/15/2036		56,015		62,019
5.00% due 02/20/2036		199,842		220,419
5.00% due 03/15/2036		26,908		29,685
5.00% due 05/15/2036		90,149		100,908
5.00% due 06/15/2036		44,438		49,051
5.00% due 08/15/2036		2,805		3,096
5.00% due 08/15/2038		319,600		353,872
5.50% due 02/15/2032		2,259		2,529
5.50% due 03/15/2032		6,597		7,557
5.50% due 12/15/2032		6,946		7,957
5.50% due 01/15/2033		3,607		4,135
5.50% due 02/15/2033		21,720		24,721

Security Description	Principal Amount(17)		Value (Note 2)
Government National Mtg. Assoc. (continued)
5.50% due 03/15/2033	$	90,611	$	102,553
5.50% due 04/15/2033		72,900		82,963
5.50% due 05/15/2033		592		594
5.50% due 06/15/2033		91,461		104,187
5.50% due 07/15/2033		296,962		335,260
5.50% due 08/15/2033		66,148		75,360
5.50% due 09/15/2033		12,188		13,964
5.50% due 11/15/2033		70,446		78,896
5.50% due 12/15/2033		3,695		4,179
5.50% due 01/15/2034		124,543		141,746
5.50% due 02/15/2034		55,546		62,203
6.00% due 04/15/2028		150,199		172,387
6.00% due 01/15/2029		25,754		29,063
6.00% due 03/15/2029		23,978		27,059
6.00% due 11/15/2031		12,653		14,279
6.00% due 12/15/2031		14,262		16,094
6.00% due 04/15/2032		19,587		22,660
6.00% due 09/15/2032		16,528		19,116
6.00% due 10/15/2032		85,972		99,451
6.00% due 11/15/2032		26,954		31,174
6.00% due 01/15/2033		3,677		4,207
6.00% due 02/15/2033		40,498		46,766
6.00% due 03/15/2033		14,851		17,175
6.00% due 09/15/2033		21,276		24,010
6.00% due 01/15/2034		177,530		200,341
6.00% due 03/15/2034		16,925		19,100
6.00% due 05/15/2034		6,239		7,041
6.00% due 07/15/2034		14,080		15,889
6.00% due 08/15/2034		142,686		161,020
6.00% due 09/15/2034		16,893		19,243
6.00% due 11/15/2034		74,109		83,632
6.00% due 03/15/2035		48,133		54,376
6.00% due 08/15/2035		96,989		109,631
6.00% due 01/15/2036		42,056		48,245
6.00% due 02/15/2036		39,299		44,349
6.00% due 04/15/2036		102,703		116,432
6.00% due 05/15/2036		40,150		45,939
6.00% due 06/15/2036		94,832		107,435
6.00% due 07/15/2036		4,333		4,890
6.00% due 08/15/2036		96,977		110,484
6.00% due 09/15/2036		77,295		87,227
6.00% due 10/15/2036		176,036		199,825
6.00% due 11/15/2036		75,880		87,392
6.00% due 12/15/2036		14,284		16,191
6.50% due 09/15/2028		5,543		6,346
6.50% due 09/15/2031		11,379		13,054
6.50% due 10/15/2031		5,322		6,092
6.50% due 11/15/2031		2,539		2,907
6.50% due 12/15/2031		6,586		7,549
7.50% due 09/15/2030		21,158		21,782
				31,546,981
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		105,000		107,019
Total U.S. Government Agencies (cost $314,941,901)				318,559,553

280

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. GOVERNMENT TREASURIES — 37.8%
United States Treasury Bonds — 6.9%
2.50% due 02/15/2045	$	7,660,000	$	7,469,097
2.75% due 08/15/2042		5,928,000		6,121,122
2.75% due 11/15/2042		1,812,000		1,868,130
2.88% due 05/15/2043		5,218,000		5,498,264
2.88% due 08/15/2045		2,188,000		2,301,502
3.00% due 11/15/2044		2,461,000		2,655,670
3.00% due 05/15/2045		1,125,000		1,213,287
3.00% due 11/15/2045		3,461,000		3,736,392
3.13% due 11/15/2041		1,919,000		2,134,813
3.13% due 02/15/2042		547,000		608,345
3.13% due 02/15/2043		1,770,000		1,960,344
3.13% due 08/15/2044		1,728,000		1,911,600
3.38% due 05/15/2044		869,000		1,007,395
3.50% due 02/15/2039		1,764,000		2,099,091
3.63% due 08/15/2043		3,158,000		3,835,489
3.63% due 02/15/2044		2,706,000		3,282,822
3.75% due 08/15/2041		427,000		526,377
3.88% due 08/15/2040		1,626,000		2,038,025
4.25% due 05/15/2039		67,000		88,668
4.25% due 11/15/2040		1,100,000		1,456,039
4.38% due 02/15/2038		1,183,000		1,598,945
4.38% due 11/15/2039		1,271,000		1,710,339
4.38% due 05/15/2040		953,000		1,282,269
4.50% due 02/15/2036		1,604,000		2,200,800
4.63% due 02/15/2040		1,187,000		1,652,990
4.75% due 02/15/2041		1,123,000		1,595,099
5.25% due 11/15/2028		1,297,000		1,773,951
5.25% due 02/15/2029		1,966,000		2,699,257
5.38% due 02/15/2031		853,000		1,223,089
6.13% due 11/15/2027		544,000		783,998
6.25% due 08/15/2023		1,613,000		2,141,069
6.38% due 08/15/2027		1,217,000		1,778,009
6.75% due 08/15/2026		377,000		553,571
7.88% due 02/15/2021		1,267,000		1,662,592
8.13% due 08/15/2019		39,000		48,261
8.13% due 05/15/2021		13,000		17,393
8.75% due 05/15/2017		1,725,000		1,880,586
8.75% due 05/15/2020		1,035,000		1,351,443
8.75% due 08/15/2020		1,389,000		1,837,007
9.00% due 11/15/2018		3,770,000		4,568,181
9.13% due 05/15/2018		32,000		37,669
				84,208,990
United States Treasury Notes — 30.9%
0.13% due 04/15/2018 TIPS(11)		460,158		468,300
0.13% due 07/15/2024 TIPS(11)(22)		16,212,950		16,268,690
0.25% due 01/15/2025 TIPS(11)(22)		19,669,130		19,834,822
0.38% due 07/15/2025 TIPS(11)		4,025,930		4,113,840
0.50% due 04/30/2017		944,000		942,599
0.50% due 07/31/2017		2,917,000		2,909,821
0.63% due 05/31/2017		4,793,000		4,790,191
0.63% due 08/31/2017		12,809,000		12,793,488
0.63% due 11/30/2017		4,916,000		4,908,125
0.63% due 04/30/2018		2,441,000		2,433,753
0.75% due 06/30/2017		10,430,000		10,439,783
0.75% due 12/31/2017		368,000		368,130

Security Description	Principal Amount(17)		Value (Note 2)
United States Treasury Notes (continued)
0.75% due 01/31/2018	$	408,000	$	408,144
0.88% due 11/30/2016		10,404,000		10,428,793
0.88% due 01/31/2017		7,049,000		7,064,698
0.88% due 02/28/2017		4,356,000		4,365,357
0.88% due 07/31/2019		9,593,000		9,570,140
1.00% due 08/31/2016		3,735,000		3,744,192
1.00% due 10/31/2016		6,506,000		6,525,570
1.00% due 03/31/2017		6,007,000		6,029,058
1.00% due 06/30/2019		10,922,000		10,951,435
1.13% due 05/31/2019		5,211,000		5,245,809
1.13% due 12/31/2019		1,985,000		1,990,893
1.13% due 02/28/2021		84,000		83,655
1.25% due 11/30/2018		6,968,000		7,045,575
1.25% due 01/31/2019		18,191,000		18,393,520
1.25% due 01/31/2020		179,000		180,231
1.25% due 02/29/2020		7,378,000		7,426,127
1.38% due 07/31/2018		1,587,000		1,608,201
1.38% due 09/30/2018		7,787,000		7,897,116
1.38% due 12/31/2018		3,941,000		3,998,420
1.38% due 02/28/2019		6,215,000		6,305,310
1.38% due 03/31/2020		722,000		729,840
1.38% due 04/30/2020		261,000		263,702
1.38% due 05/31/2020		4,553,000		4,598,708
1.38% due 09/30/2020		688,000		693,751
1.38% due 01/31/2021		206,000		207,481
1.50% due 08/31/2018		4,979,000		5,063,215
1.50% due 01/31/2022		13,912,000		13,982,103
1.50% due 02/28/2023		4,797,000		4,783,698
1.63% due 08/15/2022		9,967,000		10,043,696
1.63% due 11/15/2022		13,867,000		13,971,002
1.63% due 02/15/2026		756,000		745,015
1.75% due 10/31/2020		4,136,000		4,237,622
1.75% due 12/31/2020		214,000		219,241
1.75% due 05/15/2022		4,641,000		4,719,136
1.75% due 09/30/2022		325,000		329,989
1.75% due 05/15/2023		23,574,000		23,898,142
1.88% due 08/31/2017		3,079,000		3,129,754
1.88% due 10/31/2017		984,000		1,001,681
1.88% due 10/31/2022		967,000		989,173
2.00% due 05/31/2021		3,075,000		3,186,469
2.00% due 11/15/2021		4,434,000		4,585,727
2.00% due 07/31/2022		87,000		89,715
2.00% due 02/15/2023		9,939,000		10,240,271
2.00% due 02/15/2025		3,524,000		3,599,297
2.00% due 08/15/2025		5,300,000		5,401,861
2.13% due 06/30/2021		6,094,000		6,350,850
2.13% due 08/15/2021		7,667,000		7,985,357
2.13% due 06/30/2022		950,000		986,924
2.13% due 05/15/2025		1,233,000		1,271,097
2.25% due 11/15/2024		4,014,000		4,184,908
2.25% due 11/15/2025		971,000		1,010,560
2.38% due 05/31/2018		4,163,000		4,306,265
2.38% due 08/15/2024		5,657,000		5,957,528
2.50% due 08/15/2023		6,555,000		6,985,428
2.50% due 05/15/2024		478,000		508,323
2.63% due 08/15/2020		922,000		979,769

281

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
U.S. GOVERNMENT TREASURIES (continued)
United States Treasury Notes (continued)
2.63% due 11/15/2020	$	2,646,000	$	2,814,270
2.75% due 02/15/2019		1,649,000		1,737,698
3.13% due 05/15/2019		2,092,000		2,236,070
3.13% due 05/15/2021		7,000		7,644
3.38% due 11/15/2019		816,000		884,723
3.50% due 05/15/2020		699,000		765,706
3.63% due 08/15/2019		19,000		20,677
3.63% due 02/15/2020		3,814,000		4,186,460
3.63% due 02/15/2021		3,869,000		4,306,228
4.00% due 08/15/2018		29,000		31,255
4.25% due 11/15/2017		69,000		72,892
4.50% due 05/15/2017		30,000		31,276
				377,865,983
Total U.S. Government Treasuries (cost $444,460,067)				462,074,973
MUNICIPAL BONDS & NOTES — 0.5%
Bay Area Toll Authority Revenue Bonds Series F-2 6.26% due 04/01/2049		325,000		458,487
Chicago Transit Authority Revenue Bonds Series A 6.90% due 12/01/2040		90,000		108,275
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		690,000		821,348
Metropolitan Transportation Authority Revenue Bonds Series A2 6.09% due 11/15/2040		130,000		172,197
New York State Dormitory Authority Revenue Bonds Series F 5.63% due 03/15/2039		30,000		38,242
Ohio State University Revenue Bonds Series A 4.80% due 06/01/2111		258,000		277,162
Port Authority of New York & New Jersey Revenue Bonds Series 174 4.46% due 10/01/2062		190,000		198,670
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		185,000		212,178

Security Description	Principal Amount(17)		Value (Note 2)
Port Authority of New York & New Jersey Revenue Bonds Series 158 5.86% due 12/01/2024	$	150,000	$	189,924
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(10)		1,870,000		568,012
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039(10)		785,000		238,444
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058(10)		290,000		88,087
State of California General Obligation Bonds 7.55% due 04/01/2039		590,000		903,314
State of California General Obligation Bonds 7.60% due 11/01/2040		655,000		1,018,401
State of California General Obligation Bonds 7.63% due 03/01/2040		310,000		474,418
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		175,000		163,651
University of California Revenue Bonds Series H 6.55% due 05/15/2048		450,000		610,830
Total Municipal Bonds & Notes (cost $6,699,414)				6,541,640
LOANS(7)(8)(12) — 1.8%
Advertising Services — 0.1%
Advantage Sales & Marketing, Inc. FRS 1st Lien 4.25% due 07/23/2021		523,480		513,403
Aerospace/Defense-Equipment — 0.1%
TransDigm, Inc. FRS BTL-E 3.50% due 05/14/2022		668,575		655,537
Applications Software — 0.0%
SS&C European Holdings SARL FRS BTL-B2 4.08% due 07/08/2022		21,036		21,066

282

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
LOANS(7)(8)(12) (continued)
Applications Software (continued)
SS&C Technologies, Inc. FRS BTL-B1 4.00% due 07/08/2022	$	149,451	$	149,664
Verint Systems, Inc. FRS BTL 3.50% due 09/06/2019		130,729		130,631
				301,361
Auto-Cars/Light Trucks — 0.0%
FCA US LLC FRS BTL-B 3.25% due 12/31/2018		129,520		129,228
Auto/Truck Parts & Equipment-Original — 0.0%
Tower Automotive Holdings USA, LLC FRS BTL 4.00% due 04/23/2020		97,600		96,746
Broadcast Services/Program — 0.0%
Univision Communications, Inc. FRS BTL-C4 4.00% due 03/01/2020		243,621		240,967
Building & Construction Products-Misc. — 0.0%
Summit Materials Comp I LLC BTL 4.00% due 07/17/2022		99,250		98,258
Cable/Satellite TV — 0.1%
Altice Financing SA FRS BTL 5.25% due 02/04/2022		109,175		108,732
CCO Safari III LLC FRS BTL 3.50% due 01/24/2023		200,000		200,036
Neptune Finco Corp. FRS BTL 5.00% due 10/09/2022		230,000		230,115
Numericable US LLC FRS BTL-B1 4.50% due 05/21/2020		58,240		57,746
Numericable US LLC FRS BTL-B2 4.50% due 05/21/2020		50,385		49,958
Ziggo BV FRS BTL-B1 3.50% due 01/15/2022		129,425		127,753
Ziggo BV FRS BTL-B2 3.60% due 01/15/2022		83,404		82,327
Ziggo BV FRS BTL-B3 3.60% due 01/15/2022		137,171		135,399
				992,066
Casino Hotels — 0.0%
Caesars Entertainment Operating Co., Inc. FRS BTL-B6 1.50% due 03/01/2017(13)(14)		100,616		92,283

Security Description	Principal Amount(17)		Value (Note 2)
Casino Hotels (continued)
MGM Resorts International FRS BTL-B 3.50% due 12/20/2019	$	243,703	$	242,992
				335,275
Cellular Telecom — 0.0%
LTS Buyer LLC FRS 1st Lien 4.00% due 04/13/2020		166,229		164,151
T-Mobile USA, Inc. FRS BTL-B 3.50% due 11/09/2022		99,750		100,069
				264,220
Chemicals-Specialty — 0.0%
Chemours Co. BTL-B 3.75% due 05/12/2022		143,913		136,357
Minerals Technologies, Inc. FRS Term Loan B 3.75% due 05/09/2021		87,186		86,750
				223,107
Coal — 0.0%
Arch Coal, Inc. FRS DIP Delayed Draw 5.00% due 01/31/2017(10)(13)(19)		55,000		52,800
Arch Coal, Inc. FRS BTL-B 7.50% due 05/16/2018(13)		244,317		84,411
				137,211
Commercial Services — 0.1%
Brand Energy & Infrastructure Services, Inc. FRS BTL-B 4.75% due 11/26/2020		185,725		178,761
Brickman Group, Ltd. FRS 1st Lien 4.00% due 12/18/2020		195,509		191,782
ServiceMaster Co. LLC FRS BTL-B 4.25% due 07/01/2021		441,006		440,822
				811,365
Commercial Services-Finance — 0.0%
TransUnion LLC FRS BTL-B2 3.50% due 04/09/2021		236,593		234,030
Computers-Periphery Equipment — 0.0%
CDW LLC FRS BTL-B 3.25% due 04/29/2020		246,194		245,252
Containers-Metal/Glass — 0.0%
Owens-Brockway Glass Container, Inc. FRS BTL-B 3.50% due 09/01/2022		118,500		118,475

283

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
LOANS(7)(8)(12) (continued)
Containers-Paper/Plastic — 0.1%
Berry Plastics Group, Inc. FRS BTL-E 3.75% due 01/06/2021	$	577,179	$	574,774
Coveris Holdings SA FRS BTL-B1 4.50% due 05/08/2019		118,402		115,442
				690,216
Cosmetics & Toiletries — 0.0%
Coty, Inc. BTL 3.75% due 10/27/2022		55,000		54,863
Galleria Co. BTL 3.75% due 10/22/2022		110,000		109,587
				164,450
Data Processing/Management — 0.1%
First Data Corp. FRS BTL 3.93% due 03/24/2018		201,821		201,254
First Data Corp. BTL 4.18% due 07/08/2022		530,000		526,246
First Data Corp. FRS BTL 4.43% due 03/24/2021		250,000		249,219
				976,719
Diagnostic Equipment — 0.0%
Ortho-Clinical Diagnostics, Inc. FRS BTL-B 4.75% due 06/30/2021		137,900		126,523
Dialysis Centers — 0.0%
U.S. Renal Care, Inc. BTL 5.25% due 12/31/2022		239,400		238,502
Direct Marketing — 0.0%
Acosta, Inc. FRS BTL 4.25% due 09/26/2021		128,241		125,195
Distribution/Wholesale — 0.0%
Beacon Roofing Supply, Inc. BTL 4.00% due 10/01/2022		164,175		163,559
Univar, Inc. FRS BTL 4.25% due 07/01/2022		164,175		161,405
				324,964
Diversified Minerals — 0.0%
American Rock Salt Co. LLC FRS BTL 4.75% due 05/20/2021		123,741		113,311
American Rock Salt Co. LLC FRS 1st Lien 4.75% due 05/20/2021		176,850		160,786
				274,097

Security Description	Principal Amount(17)		Value (Note 2)
Electric-Integrated — 0.0%
Texas Competitive Electric Holdings Co. LLC FRS 1st Lien DIP 3.75% due 11/07/2016(13)	$	155,198	$	154,422
Electronic Components-Misc. — 0.0%
NXP BV/NXP Funding LLC BTL-B 3.75% due 12/07/2020		214,463		214,898
Electronic Components-Semiconductors — 0.0%
Avago Technologies Cayman Finance, Ltd. FRS BTL-B1 4.25% due 02/01/2023		265,000		263,491
NXP BV FRS BTL-D 3.25% due 01/11/2020		185,250		183,977
				447,468
Entertainment Software — 0.0%
Activision Blizzard, Inc. FRS BTL-B 3.25% due 10/13/2020		111,875		112,242
Extended Service Contracts — 0.0%
Sedgwick Claims Management Services, Inc. FRS 1st Lien 3.75% due 03/01/2021		264,600		255,339
Sedgwick Claims Management Services, Inc. FRS 2nd Lien 6.75% due 02/28/2022		125,000		115,625
				370,964
Food-Baking — 0.0%
Hostess Brands LLC FRS 1st Lien 4.50% due 08/03/2022		134,325		134,115
Food-Meat Products — 0.0%
JBS USA LLC FRS BTL-B 4.00% due 10/30/2022		458,850		455,791
Food-Retail — 0.0%
Albertsons LLC FRS BTL-B4 5.50% due 08/25/2021		178,200		178,200
Albertsons LLC FRS BTL-B5 5.50% due 12/21/2022		99,750		99,625
				277,825
Gambling (Non-Hotel) — 0.0%
Scientific Games International, Inc. FRS BTL-B2 6.00% due 10/01/2021		153,063		148,016

284

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
LOANS(7)(8)(12) (continued)
Hotels/Motels — 0.0%
La Quinta Intermediate Holdings LLC FRS BTL-B 3.75% due 04/14/2021	$	115,886	$	113,761
Human Resources — 0.0%
On Assignment, Inc. BTL 3.75% due 06/03/2022		197,103		197,103
Independent Power Producers — 0.0%
NRG Energy, Inc. FRS BTL-B 2.75% due 07/01/2018		243,719		240,901
Insurance Brokers — 0.1%
HUB International, Ltd. FRS BTL-B 4.00% due 10/02/2020		343,000		333,310
USI, Inc. FRS BTL-B 4.25% due 12/27/2019		327,481		322,160
				655,470
Insurance-Property/Casualty — 0.1%
Asurion LLC FRS BTL-B2 4.25% due 07/08/2020		314,411		303,112
Asurion LLC FRS 2nd Lien 8.50% due 03/03/2021		305,000		284,317
				587,429
Internet Connectivity Services — 0.1%
Zayo Group LLC FRS BTL-B 3.75% due 05/06/2021		487,489		485,400
Investment Management/Advisor Services — 0.1%
SAM Finance Lux Sarl FRS BTL 4.25% due 12/17/2020		547,221		544,257
Leisure Games — 0.0%
Aristocrat International Pty, Ltd. FRS BTL-B 4.75% due 10/20/2021		126,692		126,833
Machinery-General Industrial — 0.1%
Gardner Denver, Inc. FRS BTL 4.25% due 07/30/2020		243,750		219,984
RBS Global, Inc. FRS 1st Lien 4.00% due 08/21/2020		341,250		335,918
				555,902
Medical Labs & Testing Services — 0.0%
American Renal Holdings, Inc. FRS 1st Lien 4.50% due 08/20/2019		191,514		191,035

Security Description	Principal Amount(17)		Value (Note 2)
Medical-Biomedical/Gene — 0.0%
Medpace Holdings, Inc. FRS 1st Lien 4.75% due 04/01/2021	$	73,585	$	72,726
Medical-Drugs — 0.1%
Endo Lux Finance Co. BTL 3.75% due 09/26/2022		364,088		357,887
PRA Holdings, Inc. FRS 1st Lien 4.50% due 09/23/2020		166,444		166,236
				524,123
Medical-HMO — 0.0%
Opal Acquisition, Inc. FRS 1st Lien 5.00% due 11/27/2020		305,888		264,976
Medical-Hospitals — 0.0%
Acadia Healthcare Co., Inc. FRS BTL-B 4.50% due 02/16/2023		119,700		119,924
CHS/Community Health Systems, Inc. FRS BTL-B 3.75% due 12/31/2019		36,236		35,547
CHS/Community Health Systems, Inc. FRS BTL-B 4.00% due 01/27/2021		171,851		168,801
				324,272
Medical-Wholesale Drug Distribution — 0.0%
Vizient, Inc. FRS First Lien 6.25% due 02/13/2023		160,000		160,667
Metal Processors & Fabrication — 0.1%
AFGlobal Corp FRS 1st Lien 5.00% due 12/19/2019		97,510		44,529
Crosby US Acquisition Corp. FRS 1st Lien 4.00% due 11/23/2020		532,738		435,957
				480,486
Miscellaneous Manufacturing — 0.0%
Gates Global LLC FRS BTL-B 4.25% due 07/06/2021		174,746		164,480
Oil & Gas Drilling — 0.0%
Paragon Offshore Finance Co. FRS BTL-B 5.25% due 07/18/2021(13)		98,750		20,409
Seadrill Operating LP FRS BTL-B 4.00% due 02/21/2021		215,295		94,281
				114,690

285

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
LOANS(7)(8)(12) (continued)
Oil Companies-Exploration & Production — 0.0%
American Energy-Marcellus LLC FRS 1st Lien 5.25% due 08/04/2020	$	100,000	$	17,000
Templar Energy LLC FRS 2nd Lien 8.50% due 11/25/2020		100,000		9,750
				26,750
Oil Companies-Integrated — 0.0%
Power Buyer LLC FRS BTL 4.25% due 05/06/2020		248,184		243,221
Oil Refining & Marketing — 0.0%
Western Refining, Inc. FRS BTL-B 4.25% due 11/12/2020		117,300		113,781
Physicians Practice Management — 0.0%
Envision Healthcare Corp. FRS BTL-B2 4.50% due 10/28/2022		129,675		129,675
Pipelines — 0.0%
Energy Transfer Equity LP FRS BTL 3.25% due 12/02/2019		280,500		249,645
Professional Sports — 0.1%
Delta 2 Lux Sarl FRS BTL-B3 4.75% due 07/30/2021		400,000		387,750
Delta 2 Lux Sarl FRS 2nd Lien 7.75% due 07/29/2022		120,000		109,875
				497,625
Real Estate Management/Services — 0.0%
DTZ US Borrower LLC FRS 1st Lien 4.25% due 11/04/2021		248,125		244,610
Recreational Centers — 0.0%
Town Sports International LLC FRS BTL-B 4.50% due 11/15/2020		177,952		72,960
Research & Development — 0.0%
Pharmaceutical Product Development LLC FRS BTL-B 4.25% due 08/18/2022		208,425		206,341
Retail-Apparel/Shoe — 0.0%
Kate Spade & Co. FRS BTL-B 4.00% due 04/10/2021		182,225		179,264
Retail-Arts & Crafts — 0.0%
Michaels Stores, Inc. FRS BTL-B2 4.00% due 01/28/2020		80,853		80,819

Security Description	Principal Amount(17)		Value (Note 2)
Retail-Bedding — 0.0%
Serta Simmons Bedding LLC FRS BTL 4.25% due 10/01/2019	$	190,315	$	189,988
Retail-Discount — 0.1%
BJ's Wholesale Club, Inc. FRS 1st Lien 4.50% due 09/26/2019		616,356		598,346
Retail-Leisure Products — 0.0%
Party City Holdings, Inc. FRS BTL-B 4.25% due 08/19/2022		284,554		281,620
Retail-Pet Food & Supplies — 0.1%
PetSmart, Inc. FRS BTL-B 4.25% due 03/11/2022		461,513		459,147
Retail-Sporting Goods — 0.0%
Bass Pro Group LLC FRS BTL 4.00% due 06/05/2020		153,450		146,545
Semiconductor Equipment — 0.0%
ON Semiconductor Corp. BTL-B 5.25% due 03/03/2023		110,000		110,110
Steel-Specialty — 0.0%
Signode Industrial Group US, Inc. FRS BTL-B 3.75% due 05/01/2021		95,056		91,966
Telecommunication Equipment — 0.0%
CommScope, Inc. FRS BTL 3.83% due 12/29/2022		119,400		118,579
Telephone-Integrated — 0.1%
Level 3 Financing, Inc. FRS BTL-B2 3.50% due 05/31/2022		425,000		423,938
Level 3 Financing, Inc. FRS BTL-B 4.00% due 01/15/2020		200,000		200,350
				624,288
Television — 0.1%
ION Media Networks, Inc. FRS BTL-B 4.75% due 12/18/2020		142,114		139,863
Tribune Media Co. FRS BTL 3.75% due 12/27/2020		617,759		613,898
				753,761
Transport-Equipment & Leasing — 0.0%
Fly Funding II Sarl FRS BTL-B 3.50% due 08/09/2019		115,375		114,257

286

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
LOANS(7)(8)(12) (continued)
Transport-Truck — 0.0%
Kenan Advantage Group, Inc. FRS Strip Delayed Draw 1.50% due 01/31/2017(19)	$	10,000	$	9,900
Kenan Advantage Group, Inc. BTL 4.00% due 07/29/2022		64,675		64,028
Kenan Advantage Group, Inc. BTL-B 4.00% due 07/29/2022		19,900		19,701
				93,629
Total Loans (cost $23,161,616)				22,064,346
FOREIGN GOVERNMENT OBLIGATIONS — 1.0%
Central Bank — 0.1%
Republic of Tunisie Senior Notes 5.75% due 01/30/2025		560,000		484,400
Electric-Distribution — 0.0%
Hydro-Quebec Government Guar. Notes 1.38% due 06/19/2017		159,000		159,788
Sovereign — 0.9%
Brazil Letras do Tesouro Nacional Nacional Bills zero coupon due 04/01/2016	BRL	4,210,000		1,170,235
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2016(11)	BRL	3,334,710		927,926
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2022(11)	BRL	3,918,997		1,065,248
Government of Canada Senior Notes 0.88% due 02/14/2017		181,000		181,266
Government of Romania Bonds 5.80% due 07/26/2027	RON	4,020,000		1,213,495
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(11)	UYU	17,561,982		445,861
Oriental Republic of Uruguay Notes 4.25% due 04/05/2027(11)	UYU	25,076,146		730,946
Oriental Republic of Uruguay Senior Notes 4.38% due 12/15/2028(11)	UYU	5,810,953		171,205
Republic of Angola Senior Notes 9.50% due 11/12/2025*(10)		240,000		218,400
Republic of Argentina Senior Notes 2.26% due 12/31/2038	EUR	935,000		621,339

Security Description	Shares/ Principal Amount(17)		Value (Note 2)
Sovereign (continued)
Republic of Colombia Bonds 3.00% due 03/25/2033(11)	COP	1,303,695,093	$	370,195
Republic of Turkey Bonds 2.50% due 05/04/2016(11)	TRY	8,637,470		3,039,269
Republic of Venezuela Senior Notes 6.00% due 12/09/2020(10)		245,000		82,075
United Mexican States Senior Notes 3.50% due 01/21/2021		310,000		320,850
United Mexican States Senior Notes 3.60% due 01/30/2025		210,000		214,200
United Mexican States Senior Notes 4.75% due 03/08/2044		222,000		221,445
				10,993,955
Total Foreign Government Obligations (cost $12,087,249)				11,638,143
COMMON STOCKS — 0.0%
Insurance-Reinsurance — 0.0%
WMIH Corp.†		1,989		4,654
Television — 0.0%
ION Media Networks, Inc.†(5)(10)		22		21,484
Total Common Stocks (cost $0)				26,138
PREFERRED SECURITIES — 0.1%
Electric-Distribution — 0.0%
Entergy Louisiana LLC 4.70%		7,606		187,792
Telecom Services — 0.1%
Qwest Corp. 6.13%		14,710		359,807
Total Preferred Securities (cost $557,871)				547,599
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.5%
Banks-Commercial — 0.5%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/19/2019(10)(15)	EUR	800,000		840,680
Banco Bilbao Vizcaya Argentaria SA FRS 9.00% due 05/09/2018(15)		800,000		822,000
Banco Santander SA FRS 6.25% due 03/12/2019(15)	EUR	900,000		917,680
Banco Santander SA FRS 6.25% due 09/11/2021(15)	EUR	200,000		203,570
Bank of Ireland FRS 7.38% due 06/18/2020(10)(15)	EUR	700,000		764,669
Intesa Sanpaolo SpA FRS 7.70% due 09/17/2025*(15)		725,000		666,094

287

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(17)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Banks-Commercial (continued)
KBC Groep NV FRS 5.63% due 03/19/2019(15)	EUR	270,000	$	298,554
Rabobank Nederland FRS 5.50% due 06/29/2020(15)	EUR	575,000		630,044
Santander UK Group Holdings PLC FRS 7.38% due 06/24/2022(15)	GBP	425,000		560,048
				5,703,339
Banks-Fiduciary — 0.0%
Bank of New York Mellon Corp. FRS Series E 4.95% due 06/20/2020(15)		177,000		176,779
State Street Capital Trust IV FRS 1.63% due 06/01/2077		300,000		219,255
				396,034
Banks-Super Regional — 0.1%
Fifth Third Bancorp FRS Series J 4.90% due 09/30/2019(15)		209,000		182,353
Wells Fargo & Co. FRS Series U 5.88% due 06/15/2025(15)		163,000		174,051
Wells Fargo Capital X 5.95% due 12/01/2086		84,000		85,495
				441,899
Building Societies — 0.1%
Nationwide Building Society FRS 6.88% due 06/20/2019(15)		770,000		1,034,028
Diversified Banking Institutions — 0.7%
Bank of America Corp. FRS Series AA 6.10% due 03/17/2025(15)		283,000		278,755
Barclays PLC FRS 8.00% due 12/15/2020(15)	EUR	785,000		861,988
Barclays PLC FRS 8.25% due 12/15/2018(15)		570,000		568,843
BNP Paribas SA FRS 7.63% due 03/30/2021*(15)		470,000		472,585
Credit Agricole SA FRS 6.50% due 06/23/2021(15)	EUR	410,000		455,174
Credit Agricole SA FRS 6.63% due 09/23/2019*(15)		203,000		190,771
Credit Agricole SA FRS 8.13% due 12/23/2025*(15)		550,000		548,669
Credit Suisse Group AG FRS 6.25% due 12/18/2024*(15)		1,735,000		1,593,247
Deutsche Bank AG FRS 7.50% due 04/30/2025(15)		200,000		171,500
Goldman Sachs Group, Inc. FRS Series M 5.38% due 05/10/2020(15)		100,000		96,740
HSBC Holdings PLC FRS 5.25% due 09/16/2022(15)	EUR	200,000		203,343

Security Description	Principal Amount(17)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. FRS Series U 6.13% due 04/30/2024(15)	$	192,000	$	196,560
Lloyds Banking Group PLC FRS 7.00% due 06/27/2019(15)	GBP	450,000		614,804
Royal Bank of Scotland Group PLC FRS 7.50% due 08/10/2020(15)		720,000		669,600
Societe Generale SA FRS 7.88% due 12/18/2023*(15)		377,000		351,541
Societe Generale SA FRS 8.25% due 11/29/2018(15)		740,000		745,550
UBS Group AG FRS 5.75% due 02/19/2022(15)	EUR	200,000		229,002
UBS Group AG FRS 7.00% due 02/19/2025(15)		200,000		204,310
UBS Group AG FRS 7.13% due 02/19/2020(15)		275,000		278,025
UniCredit SpA FRS 8.00% due 06/03/2024(15)		210,000		173,250
				8,904,257
Electric-Integrated — 0.0%
Dominion Resources, Inc. FRS 5.75% due 10/01/2054		123,000		117,957
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(10)		58,000		6
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. FRS 4.75% due 04/30/2043		142,000		136,767
Food-Dairy Products — 0.0%
Land O'Lakes Capital Trust I 7.45% due 03/15/2028*		230,000		241,500
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.38% due 05/15/2045		65,000		64,350
Prudential Financial, Inc. FRS 5.63% due 06/15/2043		167,000		170,089
				234,439
Insurance-Multi-line — 0.0%
MetLife Capital Trust IV 7.88% due 12/15/2067*		150,000		172,500
MetLife, Inc. 6.40% due 12/15/2066		189,000		195,237
				367,737
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030		250,000		350,750
Sompo Japan Insurance, Inc. FRS 5.33% due 03/28/2073*		450,000		487,125
				837,875

288

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Shares/ Principal Amount(17)			Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Pipelines — 0.0%
TransCanada Trust FRS 5.63% due 05/20/2075	$	83,000		$	73,094
Tools-Hand Held — 0.0%
Stanley Black & Decker, Inc. FRS 5.75% due 12/15/2053		284,000			298,200
Total Preferred Securities/Capital Securities (cost $20,212,962)					18,787,132
OPTIONS — PURCHASED†(10)(16) — 0.0%
Put Options — Purchased		7,118,000			28,285
Call Options — Purchased		526,142			17,388
Total Options — Purchased (cost $69,705)					45,673
Total Long-Term Investment Securities (cost $1,332,454,828)					1,357,149,230
REPURCHASE AGREEMENTS — 2.6%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 03/31/2016, to be repurchased 04/01/2016 in the amount of $1,400,000 and collateralized by $1,290,000 of United States Treasury Notes, bearing interest at 3.50% due 05/15/2020 and having an approximate value of $1,428,334.		1,400,000			1,400,000
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 03/31/2016, to be repurchased 04/01/2016 in the amount of $21,979,006 and collateralized by $21,580,000 of United States Treasury Notes, bearing interest at 2.13% due 09/30/2021 and having an approximate value of $22,422,980.		21,979,000			21,979,000
Bank of America Securities LLC Joint Repurchase Agreement(18)		2,145,000			2,145,000
Barclays Capital, Inc. Joint Repurchase Agreement(18)		945,000			945,000
BNP Paribas SA Joint Repurchase Agreement(18)		1,890,000			1,890,000
Deutsche Bank AG Joint Repurchase Agreement(18)		1,890,000			1,890,000
RBS Securities, Inc. Joint Repurchase Agreement(18)		1,320,000			1,320,000
Total Repurchase Agreements (cost $31,569,000)					31,569,000
TOTAL INVESTMENTS (cost $1,364,023,828)(20)		113.6	%		1,388,718,230
Liabilities in excess of other assets		(13.6	)		(165,883,370	)
NET ASSETS		100.0	%	$	1,222,834,860

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2016, the aggregate value of these securities was $150,005,034 representing 12.3% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

†  Non-income producing security

(1)  Collateralized Mortgage Obligation

(2)  Collateralized Loan Obligation

(3)  Commercial Mortgage Backed Security

(4)  Interest Only

(5)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(6)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. Rate shown reflects the increased rate.

(7)  The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate ("LIBOR") or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.

(8)  Senior loans in the Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.

(9)  "Step-down" security where the rate decreases ("steps-down") at a predetermined rate. Rate shown reflects the decreased rate.

(10)  Illiquid security. At March 31, 2016, the aggregate value of these securities was $7,873,801 representing 0.6% of net assets.

(11)  Principal amount of security is adjusted for inflation.

(12)  All loans in the portfolio were purchased through assignment agreements unless otherwise indicated.

(13)  Company has filed for Chapter 11 bankruptcy protection.

(14)  Security in default of interest.

(15)  Perpetual maturity — maturity date reflects the next call date.

289

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

(16)  Options — Purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at March 31, 2016		Unrealized Appreciation (Depreciation)
Put option to sell Chinese Yuan in exchange for U.S. Dollars with Goldman Sachs International	April 2016	$	6.46	$	4,745,000	$	30,159	$	14,619	$	(15,540	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars with Goldman Sachs International	May 2016		6.47		2,373,000		15,780		13,666		(2,114	)
Call option to buy Brazilian Real in exchange for U.S. Dollars with Goldman Sachs International	June 2016		3.78		526,142		23,766		17,388		(6,378	)
						$	69,705	$	45,673	$	(24,032	)

(17)  Denominated in United States dollars unless otherwise indicated.

(18)  See Note 2 for details of Joint Repurchase Agreements.

(19)  All or a portion of this holding is subject to unfunded loan commitments. Interest rate will be determined at the time of funding. See Note 13.

(20)  See Note 4 for cost of investments on a tax basis.

(21)  Subsequent to March 31, 2016, Company has filed for bankruptcy protection.

(22)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

BRL — Brazilian Real

BTL — Bank Term Loan

CLO — Collateralized Loan Obligation

COP — Colombian Peso

EUR — Euro Dollar

GBP — Pound Sterling

RON — Romanian Leu

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TIPS — Treasury Inflation Protected Securities

TRY — Turkish Lira

UYU — Uruguayan Peso

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at March 31, 2016 and unless noted otherwise, the dates shown are the original maturity dates.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of March 31, 2016		Unrealized Appreciation (Depreciation)
	244	Short	CME 90 day Eurodollar Futures	December 2016	$	60,493,700	$	60,496,750	$	(3,050	)
	60	Long	U.S. Treasury 2 Year Notes	June 2016		13,061,531		13,125,000		63,469
	456	Long	U.S. Treasury 5 Year Notes	June 2016		55,309,639		55,250,813		(58,826	)
	546	Short	U.S. Treasury 10 Year Notes	June 2016		71,256,734		71,193,281		63,453
	177	Short	U.S. Treasury 10 Year Ultra Bonds	June 2016		24,772,988		24,912,750		(139,762	)
	46	Long	U.S. Treasury Long Bonds	June 2016		7,625,395		7,564,125		(61,270	)
	34	Short	U.S. Treasury Ultra Long Bonds	June 2016		5,895,133		5,866,063		29,070
									$	(106,916	)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	1,110,000	USD	1,198,332	03/15/2017	$	—	$	(80,646	)
	TRY	3,670,000	USD	1,245,123	06/15/2016		—		(31,128	)
	USD	548,135	THB	19,393,000	06/15/2016		2,202		—
	USD	1,246,106	TRY	3,670,000	06/15/2016		30,145		—
	USD	423,881	EUR	370,000	03/15/2017		2,445		—
							34,792		(111,774	)
Barclays Bank PLC	IDR	24,040,000,000	USD	1,799,536	04/01/2016		—		(13,435	)
	IDR	3,774,000,000	USD	261,448	05/18/2016		—		(24,243	)
	USD	1,805,483	IDR	24,040,000,000	04/01/2016		7,489		—
							7,489		(37,678	)
BNP Paribas SA	USD	618,061	ZAR	9,236,000	04/18/2016		5,809		—
	USD	293,625	ZAR	4,438,000	06/15/2016		2,741		—
							8,550		—

290

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Calyon Bank	PEN	291,000	USD	83,549	06/15/2016	$	—	$	(3,427	)
	USD	4,491	EUR	4,000	06/15/2016		70		—
							70		(3,427	)
Citibank N.A.	EUR	4,871,000	USD	5,460,162	04/29/2016		—		(86,700	)
	USD	315,877	UYU	10,019,000	04/04/2016		179		—
	USD	599,400	EUR	540,000	03/15/2017		22,806		—
	UYU	10,019,000	USD	308,277	04/04/2016		—		(7,780	)
							22,985		(94,480	)
Credit Suisse International	TRY	8,697,323	USD	2,998,818	05/04/2016		—		(59,148	)
Deutsche Bank AG	CNY	2,695,000	USD	408,953	07/28/2016		—		(5,262	)
	IDR	5,889,750,000	USD	431,484	09/21/2016		—		(3,717	)
							—		(8,979	)
Goldman Sachs International	BRL	3,757,000	USD	1,055,663	04/04/2016		10,790		—
	BRL	2,905,000	USD	768,275	07/05/2016		—		(19,479	)
	CNY	470,000	USD	71,483	07/28/2016		—		(755	)
	IDR	24,040,000,000	USD	1,835,115	04/01/2016		22,143		—
	USD	1,799,536	IDR	24,040,000,000	04/01/2016		13,435		—
	USD	1,017,743	BRL	3,757,000	04/04/2016		27,130		—
	USD	482,265	IDR	7,451,000,000	05/18/2016		81,774		—
	USD	1,739,313	IDR	23,559,000,000	09/21/2016		1,487		—
	ZAR	4,438,000	USD	269,443	06/15/2016		—		(26,923	)
							156,759		(47,157	)
HSBC Bank USA	IDR	11,779,500,000	USD	867,735	09/21/2016		—		(2,665	)
	USD	1,248,531	UYU	40,075,000	04/04/2016		15,665		—
	UYU	40,075,000	USD	1,242,328	04/04/2016		—		(21,867	)
	UYU	40,075,000	USD	1,197,409	06/30/2016		—		(25,881	)
							15,665		(50,413	)
JPMorgan Chase Bank	GBP	1,613,000	USD	2,281,828	04/29/2016		—		(35,017	)
	IDR	3,677,000,000	USD	254,024	05/18/2016		—		(24,324	)
	PEN	731,000	USD	210,269	06/15/2016		—		(8,215	)
	RON	4,934,000	USD	1,231,314	06/15/2016		—		(26,060	)
	USD	50,458	EUR	45,000	04/29/2016		786		—
	USD	71,420	GBP	50,000	04/29/2016		398		—
	USD	504,865	CNY	3,165,000	07/28/2016		—		(18,412	)
	USD	315,877	UYU	10,019,000	04/04/2016		178		—
	UYU	10,019,000	USD	308,182	04/04/2016		—		(7,875	)
							1,362		(119,903	)
Morgan Stanley and Co., Inc.	BRL	7,397,000	USD	1,866,233	04/04/2016		—		(190,975	)
	BRL	4,160,000	USD	1,059,414	04/06/2016		—		(96,851	)
	BRL	3,315,000	USD	878,891	08/17/2016		—		(8,615	)
	USD	2,048,030	BRL	7,397,000	04/04/2016		9,178		—
	USD	893,940	THB	31,641,000	06/15/2016		3,972		—
							13,150		(296,441	)
Royal Bank of Canada	USD	315,184	MXN	5,513,000	06/15/2016		1,864		—
Standard Chartered Bank	IDR	5,889,750,000	USD	432,117	09/21/2016		—		(3,083	)
	MXN	6,685,000	USD	369,723	06/15/2016		—		(14,725	)
	THB	51,034,000	USD	1,428,723	06/15/2016		—		(19,525	)
							—		(37,333	)

291

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
State Street Bank and Trust Co.	PEN	24,000	USD	6,961	06/15/2016	$	—	$	(213	)
	USD	66,905	MXN	1,172,000	06/15/2016		495		—
	USD	308,282	PEN	1,046,000	06/15/2016		4,351		—
	ZAR	9,236,000	USD	575,888	04/18/2016		—		(47,983	)
							4,846		(48,196	)
UBS AG	USD	229,324	EUR	200,000	03/15/2017		1,123		—
Westpac Banking Corp.	GBP	297,000	USD	422,310	06/15/2016		—		(4,351	)
Net Unrealized Appreciation(Depreciation)						$268,655		$(919,280)

BRL — Brazilian Real
CNY — Chinese Yuan
EUR — Euro Dollar
GBP — Pound Sterling
IDR — Indonesian Rupiah
MXN — Mexican Peso
PEN — Peruvian Nuevo Sol
RON — Romanian Leu
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand

Over the Counter Credit Default Swaps on Credit Indicies — Buy Protection(1)

Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Counterparty	Implied Credit Spread at March 31, 2016(2)			Notional Amount (000's)(3)		Value at March 31, 2016(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation (Depreciation)
Markit CDX Emerging Market Index		(1.00	)%	06/20/2021	Goldman Sachs International		2.89	%	$	17,130	$	1,488,563	$	1,443,142	$	45,421

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio	Payments Made by the Portfolio			Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	12,885	06/15/2026	3 month LIBOR		1.78	%	$	—	$	(115,779	)
USD	12,931	06/15/2026	3 month LIBOR		1.79			—		(122,298	)
									$	(238,077	)

Over the Counter Cross-Currency Interest Rate Swap Contracts

Swap Counterparty	Receive	Pay	Termination Date	Notional Amount of Currency Received (000's)	Notional Amount of Currency Delivered (000's)	Unrealized Appreciation (Depreciation)
Goldman Sachs International	3.30% based on the notional amount of currency received	3 Month LIBOR based on the notional amount of currency delivered	09/21/2021	CNY8,475	$1,301	$66,560

CNY — Chinese Yuan

LIBOR — London Interbank Offered Rate

USD — United States Dollar

292

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

(1)  If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation.

(3)  The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)  The quoted market prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Asset Backed Securities:
Diversified Financial Services	$	—	$	141,262,442	$	918,252	$	142,180,694
U.S. Corporate Bonds & Notes:
Airlines		—		331,285		14,646		345,931
Gambling (Non-Hotel)		—		120,780		15		120,795
Other Industries		—		317,531,800		—		317,531,800
Foreign Corporate Bonds & Notes		—		56,684,813		—		56,684,813
U.S. Government Agencies		—		318,559,553		—		318,559,553
U.S. Government Treasuries		—		462,074,973		—		462,074,973
Municipal Bond & Notes		—		6,541,640		—		6,541,640
Loans:
Coal		—		52,800		84,411		137,211
Oil & Gas Drilling		—		94,281		20,409		114,690
Oil Companies - Exploration & Production		—		17,000		9,750		26,750
Other Industries		—		21,785,695		—		21,785,695
Foreign Government Obligations		—		11,638,143		—		11,638,143
Common Stocks:
Insurance-Reinsurance		4,654		—		—		4,654
Television		—		—		21,484		21,484
Preferred Securities		547,599		—		—		547,599
Preferred Securities/Capital Securities		—		18,787,132		—		18,787,132
Options - Purchased		—		45,673		—		45,673
Repurchase Agreements		—		31,569,000		—		31,569,000
Total Investments at Value	$	552,253	$	1,387,097,010	$	1,068,967	$	1,388,718,230
Other Financial Instruments:†
Futures Contracts	$	155,992	$	—	$	—	$	155,992
Forward Foreign Currency Contracts		—		268,655		—		268,655
Over the Counter Credit Default Swaps on
Credit Indicies - Buy Protection		—		45,421		—		45,421
Over the Counter Cross-Currency Interest Rate Swap Contracts		—		66,560		—		66,560
Total Other Financial Instruments	$	155,992	$	380,636	$	—	$	536,628
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	262,908	$	—	$	—	$	262,908
Forward Foreign Currency Contracts		—		919,280		—		919,280
Centrally Cleared Interest Rate Swap Contracts		—		238,077		—		238,077
Total Other Financial Instruments	$	262,908	$	1,157,357	$	—	$	1,420,265

293

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

294

Seasons Series Trust Real Return Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
United States Treasury Notes	49.1	%
Sovereign	40.9
United States Treasury Bonds	6.5
Repurchase Agreements	4.9
	101.4	%
Credit Quality†#
Aaa	68.4	%
Aa	23.4
Baa	8.2
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

#  Calculated as a percentage of total debt issues, excluding short-term securities.

295

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS(1) — 40.9%
Sovereign — 40.9%
Bundesrepublik Deutschland Bonds 0.10% due 04/15/2023	EUR	11,579,157	$	14,133,282
Government of Australia Senior Bonds 1.00% due 11/21/2018	AUD	5,991,213		4,657,120
Government of Australia Senior Notes 3.00% due 09/20/2025	AUD	3,342,634		3,148,596
Government of Australia Senior Bonds 4.00% due 08/20/2020	AUD	18,379,200		16,334,510
Government of Canada Bonds 4.25% due 12/01/2021	CAD	13,583,002		13,306,165
Government of France Bonds 0.25% due 07/25/2024	EUR	15,273,429		18,891,138
Government of France Bonds 1.10% due 07/25/2022	EUR	15,551,040		20,017,178
Government of France Bonds 1.30% due 07/25/2019	EUR	11,016,932		13,537,804
Government of France Bonds 2.10% due 07/25/2023	EUR	6,504,505		9,001,081
Government of New Zealand Senior Bonds 2.00% due 09/20/2025	NZD	3,102,900		2,160,370
Government of Spain Senior Notes 0.55% due 11/30/2019*	EUR	7,878,081		9,296,152
Government of Spain Senior Notes 1.80% due 11/30/2024*	EUR	7,828,750		9,898,495
Government of Sweden Notes 0.25% due 06/01/2022	SEK	55,106,874		7,461,599
Italy Buoni Poliennali Del Tesoro Bonds 2.10% due 09/15/2021	EUR	709,861		908,639
Italy Buoni Poliennali Del Tesoro Senior Bonds 2.35% due 09/15/2024*	EUR	18,733,827		24,889,984
Italy Buoni Poliennali Del Tesoro Senior Notes 2.60% due 09/15/2023	EUR	2,615,346		3,521,801
United Kingdom Inflation Linked Gilt Treasury Bonds 0.13% due 11/22/2019	GBP	7,039,110		10,790,011
United Kingdom Inflation Linked Gilt Treasury Bonds 1.25% due 11/22/2017	GBP	3,941,820		5,924,624

Security Description	Shares/ Principal Amount(7)		Value (Note 2)
Sovereign (continued)
United Kingdom Inflation Linked Gilt Treasury Bonds 1.88% due 11/22/2022	GBP	11,422,521	$	19,960,677
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 04/16/2020	GBP	11,194,796		18,520,315
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 07/17/2024	GBP	9,584,102		17,736,544
Total Foreign Government Obligations (cost $255,384,860)				244,096,085
U.S. GOVERNMENT TREASURIES — 55.6%
United States Treasury Bonds — 6.5%
2.00% due 01/15/2026 TIPS(1)		1,235,376		1,446,355
2.38% due 01/15/2025 TIPS(1)		13,975,616		16,642,443
2.50% due 01/15/2029 TIPS(1)		16,187,171		20,328,384
				38,417,182
United States Treasury Notes — 49.1%
0.13% due 04/15/2017 TIPS(1)		25,726,335		26,020,773
0.13% due 04/15/2018 TIPS(1)		16,095,269		16,380,075
0.13% due 04/15/2019 TIPS(1)		25,776,210		26,332,357
0.13% due 01/15/2022 TIPS(1)		20,996,601		21,306,364
0.13% due 07/15/2022 TIPS(1)		22,700,016		23,093,725
0.13% due 01/15/2023 TIPS(1)		23,231,432		23,422,000
0.13% due 07/15/2024 TIPS(1)		20,094,081		20,163,164
0.38% due 07/15/2023 TIPS(1)		23,128,506		23,822,662
0.38% due 07/15/2025 TIPS(1)		6,253,677		6,390,233
0.63% due 07/15/2021 TIPS(1)		19,119,691		20,067,454
0.63% due 01/15/2024 TIPS(1)		29,088,632		30,287,781
1.13% due 01/15/2021 TIPS(1)		12,551,622		13,413,404
1.38% due 07/15/2018 TIPS(1)		18,242,419		19,246,464
1.63% due 06/30/2020		16,270,000		16,592,862
1.88% due 07/15/2019 TIPS(1)		3,178,775		3,455,633
2.50% due 07/15/2016 TIPS(1)		2,950,271		3,003,706
				292,998,657
Total U.S. Government Treasuries (cost $328,377,577)				331,415,839
WARRANTS† — 0.0%
Television — 0.0%
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)(2)(3)(4)		117		114,254
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)(2)(3)(4)		116		113,278
Total Warrants (cost $0)				227,532
Total Long-Term Investment Securities (cost $583,762,437)				575,739,456

296

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Security Description	Principal Amount(7)			Value (Note 2)
REPURCHASE AGREEMENTS — 4.9%
Bank of America Securities LLC Joint Repurchase Agreement(5)	$	7,555,000		$	7,555,000
Barclays Capital, Inc. Joint Repurchase Agreement(5)		3,335,000			3,335,000
BNP Paribas SA Joint Repurchase Agreement(5)		6,675,000			6,675,000
Deutsche Bank AG Joint Repurchase Agreement(5)		6,675,000			6,675,000
RBS Securities, Inc. Joint Repurchase Agreement(5)		4,675,000			4,675,000
Total Repurchase Agreements (cost $28,915,000)					28,915,000
TOTAL INVESTMENTS (cost $612,677,437)(6)		101.4	%		604,654,456
Liabilities in excess of other assets		(1.4	)		(8,068,371	)
NET ASSETS		100.0	%	$	596,586,085

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2016, the aggregate value of these securities was $44,084,631 representing 7.4% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

†  Non-income producing security

(1)  Principal amount of security is adjusted for inflation.

(2)  Illiquid security. At March 31, 2016, the aggregate value of these securities was $227,532 representing 0.0% of net assets.

(3)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(4)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than

securities for which secondary markets exist. As of March 31, 2016, the Real Return Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Warrants
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)	03/01/2011		117	$	0	$	114,254	$	976.53		0.02	%
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)	11/11/2010		116		0		113,278		976.53		0.02
						$	227,532				0.04	%

(5)  See Note 2 for details of Joint Repurchase Agreements.

(6)  See Note 4 for cost of investments on a tax basis.

(7)  Denominated in United States dollars unless otherwise indicated.

AUD — Australian Dollar

CAD — Canadian Dollar

EUR — Euro Dollar

GBP — Pound Sterling

NZD — New Zealand Dollar

SEK — Swedish Krona

TIPS — Treasury Inflation Protected Securities

297

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of Montreal	CAD	17,366,000	USD	13,092,088	04/29/2016	$	—	$	(279,810	)
Commonwealth Bank of Australia Sydney	AUD	7,838,000	USD	5,914,672	04/29/2016		—		(86,636	)
HSBC Bank USA, N.A.	NZD	1,485,000	USD	992,537	04/29/2016		—		(32,533	)
JPMorgan Chase Bank	AUD	7,836,000	USD	5,914,691	04/29/2016		—		(85,086	)
	GBP	50,974,000	USD	72,110,293	04/29/2016		—		(1,106,593	)
							—		(1,191,679	)
Morgan Stanley and Co., Inc.	EUR	555,000	USD	632,947	04/29/2016		940		—
National Australia Bank, Ltd.	NZD	1,486,000	USD	995,318	04/29/2016		—		(30,441	)
State Street Bank and Trust Co.	AUD	7,838,000	USD	5,918,552	04/29/2016		—		(82,756	)
	EUR	54,434,000	USD	60,940,823	04/29/2016		—		(1,046,021	)
							—		(1,128,777	)
UBS AG	AUD	7,838,000	USD	5,922,510	04/29/2016		—		(78,798	)
	SEK	60,538,000	USD	7,339,149	04/29/2016		—		(124,451	)
							—		(203,249	)
Westpac Banking Corp.	EUR	54,433,000	USD	60,933,661	04/29/2016		—		(1,052,044	)
Net Unrealized Appreciation(Depreciation)						$	940	$	(4,005,169	)

AUD — Australian Dollar

CAD — Canadian Dollar

EUR — Euro Dollar

GBP — Pound Sterling

NZD — New Zealand Dollar

SEK — Swedish Krona

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Foreign Government Obligations	$	—	$	244,096,085	$	—	$	244,096,085
U.S. Government Treasuries		—		331,415,839		—		331,415,839
Warrants		—		—		227,532		227,532
Repurchase Agreements		—		28,915,000		—		28,915,000
Total Investments at Value	$	—	$	604,426,924	$	227,532	$	604,654,456
Other Financial Instruments:+
Forward Foreign Currency Contracts	$	—	$	940	$	—	$	940
LIABILITIES:
Other Financial Instruments:+
Forward Foreign Currency Contracts	$	—	$	4,005,169	$	—	$	4,005,169

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Portfolio.

See Notes to Financial Statements

298

Seasons Series Trust SA Columbia Focused Growth Portfolio@

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Medical-Biomedical/Gene	20.5	%
E-Commerce/Products	7.9
E-Commerce/Services	7.4
Medical-Drugs	7.2
Applications Software	5.4
Beverages-Non-alcoholic	4.5
Repurchase Agreements	4.1
Internet Application Software	3.8
Internet Content-Entertainment	3.5
Auto/Truck Parts & Equipment-Original	3.5
Finance-Credit Card	3.5
Computer Services	3.4
Athletic Footwear	3.4
Electronic Forms	3.3
Auto-Cars/Light Trucks	3.2
Finance-Other Services	3.1
Networking Products	2.8
Retail-Drug Store	2.7
Internet Content-Information/News	2.6
Lighting Products & Systems	2.5
Drug Delivery Systems	2.0
Coatings/Paint	1.3
Medical Instruments	1.1
	102.7	%

*  Calculated as a percentage of net assets

@  See Note 1

299

Seasons Series Trust SA Columbia Focused Growth Portfolio@

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.6%
Applications Software — 5.4%
Salesforce.com, Inc.†		70,964	$	5,239,272
ServiceNow, Inc.†		94,055		5,754,285
				10,993,557
Athletic Footwear — 3.4%
NIKE, Inc., Class B		113,564		6,980,779
Auto-Cars/Light Trucks — 3.2%
Tesla Motors, Inc.†		28,753		6,606,577
Auto/Truck Parts & Equipment-Original — 3.5%
Mobileye NV†		194,547		7,254,658
Beverages-Non-alcoholic — 4.5%
Monster Beverage Corp.†		69,224		9,233,097
Coatings/Paint — 1.3%
Sherwin-Williams Co.		9,547		2,717,745
Computer Services — 3.4%
Cognizant Technology Solutions Corp., Class A†		112,416		7,048,483
Drug Delivery Systems — 2.0%
DexCom, Inc.†		60,730		4,124,174
E-Commerce/Products — 7.9%
Alibaba Group Holding, Ltd. ADR†		116,318		9,192,612
Amazon.com, Inc.†		11,771		6,987,737
				16,180,349
E-Commerce/Services — 7.4%
MercadoLibre, Inc.		63,723		7,509,755
Priceline Group, Inc.†		5,985		7,714,426
				15,224,181
Electronic Forms — 3.3%
Adobe Systems, Inc.†		71,567		6,712,985
Finance-Credit Card — 3.5%
Visa, Inc., Class A		94,845		7,253,746
Finance-Other Services — 3.1%
Intercontinental Exchange, Inc.		26,955		6,338,199
Internet Application Software — 3.8%
Splunk, Inc.†		159,880		7,822,928
Internet Content-Entertainment — 3.5%
Facebook, Inc., Class A†		63,844		7,284,600
Internet Content-Information/News — 2.6%
LinkedIn Corp., Class A†		47,252		5,403,266
Lighting Products & Systems — 2.5%
Acuity Brands, Inc.		23,220		5,065,211
Medical Instruments — 1.1%
Edwards Lifesciences Corp.†		26,468		2,334,742
Medical-Biomedical/Gene — 20.5%
Alexion Pharmaceuticals, Inc.†		55,018		7,659,606
Biogen, Inc.†		27,652		7,198,369
Celgene Corp.†		69,228		6,929,030
Illumina, Inc.†		49,378		8,004,667
Intercept Pharmaceuticals, Inc.†		41,397		5,318,273
Vertex Pharmaceuticals, Inc.†		88,073		7,000,923
				42,110,868

Security Description	Shares/ Principal Amount			Value (Note 2)
Medical-Drugs — 7.2%
Bristol-Myers Squibb Co.		129,937		$	8,300,375
Novo Nordisk A/S ADR		118,752			6,435,171
					14,735,546
Networking Products — 2.8%
Palo Alto Networks, Inc.†		35,544			5,798,648
Retail-Drug Store — 2.7%
CVS Health Corp.		52,669			5,463,355
Total Long-Term Investment Securities (cost $219,522,952)					202,687,694
REPURCHASE AGREEMENTS — 4.1%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 03/31/2016, to be repurchased 04/01/2016 in the amount of $8,306,002 and collateralized by $8,155,000 of United States Treasury Notes, bearing interest at 2.13% due 09/30/2021 and having an approximate value of $8,473,559 (cost $8,306,000)	$	8,306,000			8,306,000
TOTAL INVESTMENTS (cost $227,828,952)(1)		102.7	%		210,993,694
Liabilities in excess of other assets		(2.7	)		(5,483,671	)
NET ASSETS		100.0	%	$	205,510,023

@  See Note 1

†  Non-income producing security

(1)  See Note 4 for cost of investments on a tax basis.

ADR — American Depositary Receipt

300

Seasons Series Trust SA Columbia Focused Growth Portfolio@

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks	$	202,687,694	$	—	$	—	$	202,687,694
Repurchase Agreements		—		8,306,000		—		8,306,000
Total Investments at Value	$	202,687,694	$	8,306,000	$	—	$	210,993,694

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

301

Seasons Series Trust SA Columbia Focused Value Portfolio@

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Diversified Banking Institutions	10.3	%
Repurchase Agreements	8.8
Electric-Integrated	7.7
Tobacco	5.5
Insurance-Life/Health	5.0
Telephone-Integrated	4.5
Semiconductor Equipment	4.3
Food-Meat Products	3.7
Oil Refining & Marketing	3.6
Medical-HMO	3.3
Medical-Drugs	3.1
Instruments-Controls	3.0
Retail-Building Products	3.0
Banks-Super Regional	2.9
Transport-Rail	2.8
Oil Companies-Integrated	2.7
Insurance-Multi-line	2.7
Electronic Components-Misc.	2.5
Retail-Discount	2.4
Telecommunication Equipment	2.3
Pharmacy Services	2.3
Oil Companies-Exploration & Production	2.3
Chemicals-Diversified	2.3
Oil-Field Services	2.2
Computer Services	2.1
Aerospace/Defense-Equipment	1.9
Retail-Major Department Stores	1.8
Medical Products	1.5
Pipelines	0.6
	101.1	%

*  Calculated as a percentage of net assets

@  See Note 1

302

Seasons Series Trust SA Columbia Focused Value Portfolio@

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 92.3%
Aerospace/Defense-Equipment — 1.9%
United Technologies Corp.		63,900	$	6,396,390
Banks-Super Regional — 2.9%
Wells Fargo & Co.		200,000		9,672,000
Chemicals-Diversified — 2.3%
FMC Corp.		185,000		7,468,450
Computer Services — 2.1%
Teradata Corp.†		260,000		6,822,400
Diversified Banking Institutions — 10.3%
Bank of America Corp.		800,000		10,816,000
Citigroup, Inc.		185,000		7,723,750
JPMorgan Chase & Co.		125,000		7,402,500
Morgan Stanley		325,000		8,128,250
				34,070,500
Electric-Integrated — 7.7%
AES Corp.		850,000		10,030,000
NextEra Energy, Inc.		130,000		15,384,200
				25,414,200
Electronic Components-Misc. — 2.5%
Corning, Inc.		400,000		8,356,000
Food-Meat Products — 3.7%
Tyson Foods, Inc., Class A		181,500		12,098,790
Instruments-Controls — 3.0%
Honeywell International, Inc.		90,000		10,084,500
Insurance-Life/Health — 5.0%
Prudential Financial, Inc.		100,000		7,222,000
Unum Group		300,000		9,276,000
				16,498,000
Insurance-Multi-line — 2.7%
MetLife, Inc.		200,000		8,788,000
Medical Products — 1.5%
Baxter International, Inc.		125,000		5,135,000
Medical-Drugs — 3.1%
Bristol-Myers Squibb Co.		159,700		10,201,636
Medical-HMO — 3.3%
Humana, Inc.		60,000		10,977,000
Oil Companies-Exploration & Production — 2.3%
Anadarko Petroleum Corp.		160,627		7,480,399
Oil Companies-Integrated — 2.7%
Chevron Corp.		63,704		6,077,362
Marathon Oil Corp.		250,000		2,785,000
				8,862,362
Oil Refining & Marketing — 3.6%
Marathon Petroleum Corp.		125,000		4,647,500
Valero Energy Corp.		115,000		7,376,100
				12,023,600
Oil-Field Services — 2.2%
Halliburton Co.		205,000		7,322,600
Pharmacy Services — 2.3%
Express Scripts Holding Co.†		110,000		7,555,900

Security Description	Shares/ Principal Amount			Value (Note 2)
Pipelines — 0.6%
Williams Cos., Inc.		130,000		$	2,089,100
Retail-Building Products — 3.0%
Lowe's Cos., Inc.		129,600			9,817,200
Retail-Discount — 2.4%
Costco Wholesale Corp.		50,000			7,879,000
Retail-Major Department Stores — 1.8%
Nordstrom, Inc.		102,100			5,841,141
Semiconductor Equipment — 4.3%
Applied Materials, Inc.		675,000			14,296,500
Telecommunication Equipment — 2.3%
Juniper Networks, Inc.		300,000			7,653,000
Telephone-Integrated — 4.5%
Verizon Communications, Inc.		275,700			14,909,856
Tobacco — 5.5%
Altria Group, Inc.		134,000			8,396,440
Philip Morris International, Inc.		100,000			9,811,000
					18,207,440
Transport-Rail — 2.8%
CSX Corp.		181,100			4,663,325
Union Pacific Corp.		59,800			4,757,090
					9,420,415
Total Long-Term Investment Securities (cost $318,002,314)					305,341,379
REPURCHASE AGREEMENTS — 8.8%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 03/31/2016, to be repurchased 04/01/2016 in the amount of $29,189,008 and collateralized by $28,655,000 of United States Treasury Notes, bearing interest at 2.13% due 09/30/2021 and having an approximate value of $29,774,350 (cost $29,189,000)	$	29,189,000			29,189,000
TOTAL INVESTMENTS (cost $347,191,314)(1)		101.1	%		334,530,379
Liabilities in excess of other assets		(1.1	)		(3,515,401	)
NET ASSETS		100.0	%	$	331,014,978

@  See Note 1

†  Non-income producing security

(1)  See Note 4 for cost of investments on a tax basis.

303

Seasons Series Trust SA Columbia Focused Value Portfolio@

PORTFOLIO OF INVESTMENTS — March 31, 2016 (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks	$	305,341,379	$	—	$	—	$	305,341,379
Repurchase Agreements		—		29,189,000		—		29,189,000
Total Investments at Value	$	305,341,379	$	29,189,000	$	—	$	334,530,379

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

304

Seasons Series Trust Allocation Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	54.9	%
International Equity Investment Companies	25.6
Domestic Fixed Income Investment Companies	19.5
	100.0	%

*  Calculated as a percentage of net assets

305

Seasons Series Trust Allocation Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 54.9%
Seasons Series Trust Large Cap Growth Portfolio, Class 3		1,408,764	$	17,066,641
Seasons Series Trust Large Cap Value Portfolio, Class 3		882,199		13,539,406
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		373,138		5,520,385
Seasons Series Trust Mid Cap Value Portfolio, Class 3		236,981		3,732,836
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 3		182,940		1,488,298
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 3		107,911		1,808,321
Seasons Series Trust Small Cap Portfolio, Class 3		413,874		4,759,989
SunAmerica Series Trust Real Estate Portfolio, Class 3		171,409		2,700,000
Total Domestic Equity Investment Companies (cost $48,714,105)				50,615,876
Domestic Fixed Income Investment Companies — 19.5%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		1,272,302		14,841,276
Seasons Series Trust Real Return Portfolio, Class 3		144,126		1,368,764
SunAmerica Series Trust High Yield Bond Portfolio, Class 3		343,431		1,825,083
Total Domestic Fixed Income Investment Companies (cost $18,182,521)				18,035,123

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 25.6%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $22,961,934)		3,026,313		$	23,642,611
TOTAL INVESTMENTS (cost $89,858,560)(2)		100.0	%		92,293,610
Liabilities in excess of other assets		0.0			(42,200	)
NET ASSETS		100.0	%	$	92,251,410

#  The Seasons Series Trust Allocation Growth Portfolio invests in Class 3 shares of the underlying Portfolios, which are Portfolios of the Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

(1)  See Note 8

(2)  See Note 4 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affliated Registered Invesment Companies	$	92,293,610	$	—	$	—	$	92,293,610

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

306

Seasons Series Trust Allocation Moderate Growth Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	45.1	%
Domestic Fixed Income Investment Companies	34.4
International Equity Investment Companies	20.5
	100.0	%

*  Calculated as a percentage of net assets

307

Seasons Series Trust Allocation Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 45.1%
Seasons Series Trust Large Cap Growth Portfolio, Class 3		7,085,799	$	85,841,739
Seasons Series Trust Large Cap Value Portfolio, Class 3		4,348,365		66,735,849
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		1,499,597		22,185,738
Seasons Series Trust Mid Cap Value Portfolio, Class 3		1,014,604		15,981,645
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 3		907,077		7,379,457
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 3		531,939		8,913,953
Seasons Series Trust Small Cap Portfolio, Class 3		1,628,968		18,734,847
SunAmerica Series Trust Real Estate Portfolio, Class 3		653,895		10,299,999
Total Domestic Equity Investment Companies (cost $216,505,613)				236,073,227
Domestic Fixed Income Investment Companies — 34.4%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		12,812,592		149,457,579
Seasons Series Trust Real Return Portfolio, Class 3		1,586,091		15,063,095
SunAmerica Series Trust High Yield Bond Portfolio, Class 3		2,957,848		15,718,767
Total Domestic Fixed Income Investment Companies (cost $182,646,815)				180,239,441

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 20.5%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $102,957,015)		13,714,166		$	107,139,852
TOTAL INVESTMENTS (cost $502,109,443)(2)		100.0	%		523,452,520
Liabilities in excess of other assets		(0.0	)		(126,154	)
NET ASSETS		100.0	%	$	523,326,366

#  The Seasons Series Trust Allocation Moderate Growth Portfolio invests in Class 3 shares of the underlying Portfolios, which are Portfolios of the Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

(1)  See Note 8

(2)  See Note 4 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affliated Registered Invesment Companies	$	523,452,520	$	—	$	—	$	523,452,520

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

308

Seasons Series Trust Allocation Moderate Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	44.4	%
Domestic Equity Investment Companies	39.4
International Equity Investment Companies	16.2
	100.0	%

*  Calculated as a percentage of net assets

309

Seasons Series Trust Allocation Moderate Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 39.4%
Seasons Series Trust Large Cap Growth Portfolio, Class 3		3,952,378	$	47,881,542
Seasons Series Trust Large Cap Value Portfolio, Class 3		2,352,774		36,108,833
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		814,678		12,052,732
Seasons Series Trust Mid Cap Value Portfolio, Class 3		484,640		7,633,863
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 3		477,150		3,881,817
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 3		301,976		5,060,351
Seasons Series Trust Small Cap Portfolio, Class 3		875,292		10,066,779
SunAmerica Series Trust Real Estate Portfolio, Class 3		304,728		4,800,000
Total Domestic Equity Investment Companies (cost $118,805,113)				127,485,917
Domestic Fixed Income Investment Companies — 44.4%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		10,257,176		119,648,913
Seasons Series Trust Real Return Portfolio, Class 3		1,241,960		11,794,884
SunAmerica Series Trust High Yield Bond Portfolio, Class 3		2,268,612		12,055,985
Total Domestic Fixed Income Investment Companies (cost $145,117,846)				143,499,782

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 16.2%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $51,654,539)		6,692,352		$	52,282,989
TOTAL INVESTMENTS (cost $315,577,498)(2)		100.0	%		323,268,688
Liabilities in excess of other assets		0.0			(87,195	)
NET ASSETS		100.0	%	$	323,181,493

#  The Seasons Series Trust Allocation Moderate Portfolio invests in Class 3 shares of the underlying Portfolios, which are Portfolios of the Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

(1)  See Note 8

(2)  See Note 4 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affliated Registered Invesment Companies	$	323,268,688	$	—	$	—	$	323,268,688

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

310

Seasons Series Trust Allocation Balanced Portfolio

PORTFOLIO PROFILE — March 31, 2016 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	59.0	%
Domestic Equity Investment Companies	29.4
International Equity Investment Companies	11.6
	100.0	%

*  Calculated as a percentage of net assets

311

Seasons Series Trust Allocation Balanced Portfolio

PORTFOLIO OF INVESTMENTS — March 31, 2016

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 29.4%
Seasons Series Trust Large Cap Growth Portfolio, Class 3		2,336,433	$	28,304,988
Seasons Series Trust Large Cap Value Portfolio, Class 3		1,464,655		22,478,560
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		426,031		6,302,906
Seasons Series Trust Mid Cap Value Portfolio, Class 3		271,755		4,280,574
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 3		316,740		2,576,812
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 3		218,002		3,653,173
Seasons Series Trust Small Cap Portfolio, Class 3		450,769		5,184,323
SunAmerica Series Trust Real Estate Portfolio, Class 3		165,061		2,600,000
Total Domestic Equity Investment Companies (cost $69,756,097)				75,381,336
Domestic Fixed Income Investment Companies — 59.0%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		10,918,379		127,361,777
Seasons Series Trust Real Return Portfolio, Class 3		1,340,775		12,733,326
SunAmerica Series Trust High Yield Bond Portfolio, Class 3		2,161,364		11,486,044
Total Domestic Fixed Income Investment Companies (cost $152,775,111)				151,581,147

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 11.6%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $28,647,052)		3,803,776		$	29,716,424
TOTAL INVESTMENTS (cost $251,178,260)(2)		100.0	%		256,678,907
Liabilities in excess of other assets		(0.0	)		(73,573	)
NET ASSETS		100.0	%	$	256,605,334

#  The Seasons Series Trust Allocation Balanced Portfolio invests in Class 3 shares of the underlying Portfolios, which are Portfolios of the Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

(1)  See Note 8

(2)  See Note 4 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2016 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affliated Registered Invesment Companies	$	256,678,907	$	—	$	—	$	256,678,907

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

312

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES

March 31, 2016

	Multi- Managed Growth Portfolio		Multi- Managed Moderate Growth Portfolio		Multi- Managed Income/ Equity Portfolio		Multi- Managed Income Portfolio			Asset Allocation: Diversified Growth Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	62,272,350	$	107,461,245	$	83,518,155	$	72,294,684		$	126,304,638
Investments at value (affiliated)*		—		—		—		—			—
Repurchase agreements (cost approximates value)		40,000		400,000		545,000		570,000			4,806,000
Total investments		62,312,350		107,861,245		84,063,155		72,864,684			131,110,638
Cash		150,735		56,465		105,330		23,252			21,963
Foreign cash*		4		14		4		—			76,261
Due from broker		31,339		45,076		16,238		6,438			1,530
Receivable for:
Fund shares sold		23,987		22,710		74,088		1,680			58,623
Dividends and interest		129,710		298,693		319,795		324,702			448,658
Investments sold		1,054,092		2,215,628		2,685,413		2,311,849			2,393,399
Receipts on swap contracts		—		—		—		—			3,427
Prepaid expenses and other assets		4,204		4,326		4,205		4,163			4,588
Due from investment adviser for expense reimbursements/fee waivers		—		—		—		—			10,801
Variation margin on futures contracts		520		27,742		26,911		26,348			32,808
Unrealized appreciation on forward foreign currency contracts		6,913		21,734		26,639		26,231			320,161
Swap premiums paid		—		—		—		—			—
Unrealized appreciation on swap contracts		1,767		4,594		5,536		5,498			62,596
Total assets		63,715,621		110,558,227		87,327,314		75,594,845			134,545,453
LIABILITIES:
Payable for:
Fund shares redeemed		25,777		18,140		33,613		43,342			54,472
Investments purchased		5,271,700		14,023,028		16,344,202		16,956,813			4,509,205
Payments on swap contracts		—		—		—		—			1,961
Investment advisory and management fees		43,559		68,864		48,880		38,368			91,811
Service fees — Class 2		2,500		5,670		4,852		3,931			7,546
Service fees — Class 3		5,816		8,581		4,942		4,418			10,783
Transfer agent fees and expenses		131		131		131		114			332
Trustees' fees and expenses		86		240		172		137			196
Other accrued expenses		76,869		83,839		75,377		73,436			100,495
Accrued foreign tax on capital gains		—		—		—		—			706
Variation margin on future contracts		4,468		36,714		37,042		39,119			56,803
Due to custodian		—		—		—		—			—
Due to custodian for foreign cash				—		—		38			—
Due to broker		—		—		—		—			—
Unrealized depreciation on forward foreign currency contracts		20,523		71,898		91,059		85,159			205,464
Swap premiums received		—		—		—		—			—
Unrealized depreciation on swap contracts		3,024		8,061		10,051		10,090			434,393
Commitments (Note 13)		—		—		—		—			—
Total liabilities		5,454,453		14,325,166		16,650,321		17,254,965			5,474,167
NET ASSETS	$	58,261,168	$	96,233,061	$	70,676,993	$	58,339,880		$	129,071,286
* Cost
Investments (unaffiliated)	$	56,888,340	$	101,427,010	$	81,204,713	$	71,075,112		$	122,097,417
Investments (affiliated)	$	—	$	—	$	—	$	—		$	—
Foreign cash	$	4	$	14	$	4	$	(38	)	$	75,434

See Notes to Financial Statements

313

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

March 31, 2016

	Multi- Managed Growth Portfolio			Multi- Managed Moderate Growth Portfolio			Multi- Managed Income/ Equity Portfolio			Multi- Managed Income Portfolio			Asset Allocation: Diversified Growth Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	49,419,132		$	83,241,105		$	64,943,915		$	55,304,266		$	113,838,680
Accumulated undistributed net investment income (loss)		205,426			827,061			923,205			967,157			1,088,052
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		3,261,046			6,181,214			2,583,093			919,540			10,447,436
Unrealized appreciation (depreciation) on investments		5,384,010			6,034,235			2,313,442			1,219,572			4,207,221
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		5,083			(625	)		(22,449	)		(11,882	)		(622,814	)
Unrealized foreign exchange gain (loss) on other assets and liabilities		(13,529	)		(49,929	)		(64,213	)		(58,773	)		113,417
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			(706	)
NET ASSETS	$	58,261,168		$	96,233,061		$	70,676,993		$	58,339,880		$	129,071,286
Class 1 (unlimited shares authorized):
Net assets	$	10,696,044		$	10,538,035		$	9,747,897		$	6,840,849		$	17,363,362
Shares of beneficial interest issued and outstanding		672,992			847,959			885,448			621,020			1,512,995
Net asset value, offering and redemption price per share	$	15.89		$	12.43		$	11.01		$	11.02		$	11.48
Class 2 (unlimited shares authorized):
Net assets	$	19,939,002		$	44,942,455		$	37,891,458		$	30,779,973		$	60,313,732
Shares of beneficial interest issued and outstanding		1,255,631			3,622,047			3,447,351			2,798,804			5,256,475
Net asset value, offering and redemption price per share	$	15.88		$	12.41		$	10.99		$	11.00		$	11.47
Class 3 (unlimited shares authorized):
Net assets	$	27,626,122		$	40,752,571		$	23,037,638		$	20,719,058		$	51,394,192
Shares of beneficial interest issued and outstanding		1,744,104			3,291,484			2,098,946			1,886,955			4,487,027
Net asset value, offering and redemption price per share	$	15.84		$	12.38		$	10.98		$	10.98		$	11.45

See Notes to Financial Statements

314

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

March 31, 2016

	Stock Portfolio		Large Cap Growth Portfolio		Large Cap Value Portfolio		Mid Cap Growth Portfolio		Mid Cap Value Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	478,385,043	$	479,935,662	$	950,048,285	$	219,163,105	$	312,411,207
Investments at value (affiliated)*		—		—		2,274,100		—		117,853
Repurchase agreements (cost approximates value)		—		810,000		8,671,000		2,202,000		3,274,000
Total investments		478,385,043		480,745,662		960,993,385		221,365,105		315,803,060
Cash		—		91,779		59,866		2,892		16,242
Foreign cash*		—		—		—		1		—
Due from broker		—		65,000		55,000		77,000		153,000
Receivable for:
Fund shares sold		137,730		70,172		84,126		52,314		36,750
Dividends and interest		212,275		340,835		1,884,733		89,908		556,966
Investments sold		352,118		936,622		19,148,375		626,335		3,736,866
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		5,265		4,924		5,984		4,802		6,425
Due from investment adviser for expense reimbursements/fee waivers		—		—		—		—		—
Variation margin on futures contracts		—		700		200		160		160
Unrealized appreciation on forward foreign currency contracts		—		—		2,639		—		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		479,092,431		482,255,694		982,234,308		222,218,517		320,309,469
LIABILITIES:
Payable for:
Fund shares redeemed		42,543		301,817		21,149,066		165,485		7,180,612
Investments purchased		1,399,914		2,392,829		3,685,500		306,532		791,920
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		325,122		307,770		600,511		155,198		220,897
Service fees — Class 2		5,743		4,393		3,692		2,784		3,406
Service fees — Class 3		8,554		41,302		36,811		12,799		12,004
Transfer agent fees and expenses		308		215		215		215		201
Trustees' fees and expenses		350		236		809		194		406
Other accrued expenses		106,527		108,093		166,120		94,271		104,100
Accrued foreign tax on capital gains		—		—		—		—		—
Variation margin on future contracts		—		—		—		—		—
Due to custodian		—		—		—		—		—
Due to custodian for foreign cash		—		—		—		—		—
Due to broker		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		188,247		—		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Commitments (Note 13)		—		—		—		—		—
Total liabilities		1,889,061		3,156,655		25,830,971		737,478		8,313,546
NET ASSETS	$	477,203,370	$	479,099,039	$	956,403,337	$	221,481,039	$	311,995,923
* Cost
Investments (unaffiliated)	$	400,543,596	$	399,805,986	$	914,580,892	$	193,818,079	$	297,170,122
Investments (affiliated)	$	—	$	—	$	1,986,217	$	—	$	106,902
Foreign cash	$	—	$	—		—	$	1	$	—

See Notes to Financial Statements

315

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

March 31, 2016

	Stock Portfolio			Large Cap Growth Portfolio		Large Cap Value Portfolio			Mid Cap Growth Portfolio			Mid Cap Value Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	357,530,969		$	382,979,979	$	877,930,915		$	186,720,557		$	291,026,419
Accumulated undistributed net investment income (loss)		(181,077	)		2,057,561		16,940,158			(5,681	)		3,144,964
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		42,012,640			13,899,342		25,949,310			9,403,405			2,554,786
Unrealized appreciation (depreciation) on investments		77,841,447			80,129,676		35,755,276			25,345,026			15,252,036
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—			32,480		14,180			17,653			17,653
Unrealized foreign exchange gain (loss) on other assets and liabilities		(609	)		1		(186,502	)		79			65
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—		—			—			—
NET ASSETS	$	477,203,370		$	479,099,039	$	956,403,337		$	221,481,039		$	311,995,923
Class 1 (unlimited shares authorized):
Net assets	$	387,061,904		$	244,613,491	$	771,124,109		$	137,158,410		$	233,605,436
Shares of beneficial interest issued and outstanding		16,675,490			19,648,812		50,175,844			8,768,940			14,763,818
Net asset value, offering and redemption price per share	$	23.21		$	12.45	$	15.37		$	15.64		$	15.82
Class 2 (unlimited shares authorized):
Net assets	$	47,757,338		$	35,317,610	$	29,350,300		$	22,390,235		$	27,278,147
Shares of beneficial interest issued and outstanding		2,097,060			2,888,572		1,911,324			1,483,237			1,728,282
Net asset value, offering and redemption price per share	$	22.77		$	12.23	$	15.36		$	15.10		$	15.78
Class 3 (unlimited shares authorized):
Net assets	$	42,384,128		$	199,167,938	$	155,928,928		$	61,932,394		$	51,112,340
Shares of beneficial interest issued and outstanding		1,882,675			16,440,346		10,159,995			4,186,185			3,244,827
Net asset value, offering and redemption price per share	$	22.51		$	12.11	$	15.35		$	14.79		$	15.75

See Notes to Financial Statements

316

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

March 31, 2016

	Small Cap Portfolio		International Equity Portfolio		Diversified Fixed Income Portfolio		Real Return Portfolio		SA Columbia Focused Growth Portfolio@
ASSETS:
Investments at value (unaffiliated)*	$	312,513,825	$	736,799,842	$	1,357,149,230	$	575,739,456	$	202,687,694
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		790,000		15,427,000		31,569,000		28,915,000		8,306,000
Total investments		313,303,825		752,226,842		1,388,718,230		604,654,456		210,993,694
Cash		7,689		637		871,163		4,939		487
Foreign cash*		—		3,027,834		23,415		32		—
Due from broker		324,999		890,000		1,419,547		—		—
Receivable for:
Fund shares sold		42,552		210,911		147,002		42,927		447,648
Dividends and interest		300,169		3,785,032		7,109,407		1,612,224		124,427
Investments sold		1,189,279		1,706,952		11,329,671		—		528,629
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		4,762		5,710		6,282		5,368		8,143
Due from investment adviser for expense reimbursements/fee waivers		—		25,145		—		—		52,462
Variation margin on futures contracts		7,116		—		149,000		—		—
Unrealized appreciation on forward foreign currency contracts		—		—		268,655		940		—
Swap premiums paid		—		—		1,443,142		—		—
Unrealized appreciation on swap contracts		—		—		111,981		—		—
Total assets		315,180,391		761,879,063		1,411,597,495		606,320,886		212,155,490
LIABILITIES:
Payable for:
Fund shares redeemed		565,380		763,174		577,874		5,208,268		63,152
Investments purchased		1,154,100		6,402,608		182,022,539		—		6,344,205
Payments on swap contracts		—		—		3,605,492		—		—
Investment advisory and management fees		217,227		566,100		641,635		299,635		169,232
Service fees — Class 2		2,261		2,795		4,490		—		3,156
Service fees — Class 3		10,632		48,435		91,999		93,759		7,463
Transfer agent fees and expenses		215		224		201		233		190
Trustees' fees and expenses		169		602		183		520		65
Other accrued expenses		75,875		149,514		256,179		127,217		58,004
Accrued foreign tax on capital gains		—		—		—		—		—
Variation margin on future contracts		—		191,520		339,686		—		—
Due to custodian		—		—		—		—		—
Due to custodian for foreign cash		—		—		—		—		—
Due to broker		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		919,280		4,005,169		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		238,077		—		—
Commitments (Note 13)		—		—		65,000		—		—
Total liabilities		2,025,859		8,124,972		188,762,635		9,734,801		6,645,467
NET ASSETS	$	313,154,532	$	753,754,091	$	1,222,834,860	$	596,586,085	$	205,510,023
* Cost
Investments (unaffiliated)	$	293,305,436	$	771,010,632	$	1,332,454,828	$	583,762,437	$	219,522,952
Investments (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	—	$	2,959,331	$	24,406	$	32	$	—

@ See Note 1

See Notes to Financial Statements

317

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

March 31, 2016

	Small Cap Portfolio		International Equity Portfolio			Diversified Fixed Income Portfolio			Real Return Portfolio			SA Columbia Focused Growth Portfolio@
NET ASSETS REPRESENTED BY:
Capital paid-in	$	291,978,430	$	849,161,106		$	1,193,372,671		$	618,928,671		$	204,652,982
Accumulated undistributed net investment income (loss)		573,011		10,474,412			14,057,319			(5,858,717	)		—
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		1,315,849		(71,905,568	)		(8,409,430	)		(4,475,627	)		17,694,481
Unrealized appreciation (depreciation) on investments		19,208,389		(34,210,790	)		24,694,402			(8,022,981	)		(16,835,258	)
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		78,853		162,588			(233,012	)		—			—
Unrealized foreign exchange gain (loss) on other assets and liabilities		—		72,343			(647,090	)		(3,985,261	)		(2,182	)
Accrued capital gains tax on unrealized appreciation (depreciation)		—		—			—			—			—
NET ASSETS	$	313,154,532	$	753,754,091		$	1,222,834,860		$	596,586,085		$	205,510,023
Class 1 (unlimited shares authorized):
Net assets	$	243,706,569	$	500,026,717		$	750,909,362		$	156,274,021		$	143,791,505
Shares of beneficial interest issued and outstanding		20,415,114		63,892,154			63,960,062			16,366,347			16,703,700
Net asset value, offering and redemption price per share	$	11.94	$	7.83		$	11.74		$	9.55		$	8.61
Class 2 (unlimited shares authorized):
Net assets	$	18,131,025	$	22,223,377		$	35,484,965		$	—		$	25,493,148
Shares of beneficial interest issued and outstanding		1,554,450		2,834,940			3,026,038			—			3,068,845
Net asset value, offering and redemption price per share	$	11.66	$	7.84		$	11.73		$	—		$	8.31
Class 3 (unlimited shares authorized):
Net assets	$	51,316,938	$	231,503,997		$	436,440,533		$	440,312,064		$	36,225,370
Shares of beneficial interest issued and outstanding		4,461,971		29,633,006			37,416,964			46,363,249			4,452,764
Net asset value, offering and redemption price per share	$	11.50	$	7.81		$	11.66		$	9.50		$	8.14

@ See Note 1

See Notes to Financial Statements

318

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

March 31, 2016

	SA Columbia Focused Value Portfolio@		Allocation Growth Portfolio		Allocation Moderate Growth Portfolio		Allocation Moderate Portfolio		Allocation Balanced Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	305,341,379	$	—	$	—	$	—	$	—
Investments at value (affiliated)*		—		92,293,610		523,452,520		323,268,688		256,678,907
Repurchase agreements (cost approximates value)		29,189,000		—		—		—		—
Total investments		334,530,379		92,293,610		523,452,520		323,268,688		256,678,907
Cash		767		—		—		—		—
Foreign cash*		—		—		—		—		—
Due from broker		—		—		—		—		—
Receivable for:
Fund shares sold		42,335		154,265		190,235		31,291		18,699
Dividends and interest		378,956		—		—		—		—
Investments sold		—		3,185,311		13,553,094		6,928,410		4,017,931
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		7,898		4,037		4,250		4,153		4,119
Due from investment adviser for expense reimbursements/fee waivers		88,043		772		4,376		2,706		2,152
Variation margin on futures contracts		—		—		—		—		—
Unrealized appreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		335,048,378		95,637,995		537,204,475		330,235,248		260,721,808
LIABILITIES:
Payable for:
Fund shares redeemed		229,231		239,316		341,879		158,802		235,931
Investments purchased		3,446,612		3,100,000		13,400,000		6,800,000		3,800,000
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		273,384		7,723		43,768		27,058		21,526
Service fees — Class 2		1,747		—		—		—		—
Service fees — Class 3		6,547		—		—		—		—
Transfer agent fees and expenses		210		84		83		83		84
Trustees' fees and expenses		250		138		694		411		334
Other accrued expenses		75,419		39,324		91,685		67,401		58,599
Accrued foreign tax on capital gains		—		—		—		—		—
Variation margin on future contracts		—		—		—		—		—
Due to custodian		—		—		—		—		—
Due to custodian for foreign cash		—		—		—		—		—
Due to broker		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Commitments (Note 13)		—		—		—		—		—
Total liabilities		4,033,400		3,386,585		13,878,109		7,053,755		4,116,474
NET ASSETS	$	331,014,978	$	92,251,410	$	523,326,366	$	323,181,493	$	256,605,334
* Cost
Investments (unaffiliated)	$	318,002,314	$	—	$	—	$	—	$	—
Investments (affiliated)	$	—	$	89,858,560	$	502,109,443	$	315,577,498	$	251,178,260
Foreign cash	$	—	$	—	$	—	$	—	$	—

@ See Note 1

See Notes to Financial Statements

319

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

March 31, 2016

	SA Columbia Focused Value Portfolio@			Allocation Growth Portfolio			Allocation Moderate Growth Portfolio		Allocation Moderate Portfolio		Allocation Balanced Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	305,557,280		$	91,907,890		$	444,465,969	$	287,341,529	$	227,089,709
Accumulated undistributed net investment income (loss)		4,578,884			1,524,052			9,027,943		5,699,000		4,597,839
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		33,539,749			(3,615,582	)		48,489,377		22,449,774		19,417,139
Unrealized appreciation (depreciation) on investments		(12,660,935	)		2,435,050			21,343,077		7,691,190		5,500,647
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—			—			—		—		—
Unrealized foreign exchange gain (loss) on other assets and liabilities		—			—			—		—		—
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—		—		—
NET ASSETS	$	331,014,978		$	92,251,410		$	523,326,366	$	323,181,493	$	256,605,334
Class 1 (unlimited shares authorized):
Net assets	$	285,987,907		$	—		$	—	$	—	$	—
Shares of beneficial interest issued and outstanding		17,015,811			—			—		—		—
Net asset value, offering and redemption price per share	$	16.81		$	—		$	—	$	—	$	—
Class 2 (unlimited shares authorized):
Net assets	$	13,865,490		$	—		$	—	$	—	$	—
Shares of beneficial interest issued and outstanding		825,709			—			—		—		—
Net asset value, offering and redemption price per share	$	16.79		$	—		$	—	$	—	$	—
Class 3 (unlimited shares authorized):
Net assets	$	31,161,581		$	92,251,410		$	523,326,366	$	323,181,493	$	256,605,334
Shares of beneficial interest issued and outstanding		1,859,562			7,387,523			43,615,109		27,930,121		22,911,059
Net asset value, offering and redemption price per share	$	16.76		$	12.49		$	12.00	$	11.57	$	11.20

@ See Note 1

See Notes to Financial Statements

320

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS

For the Year Ended March 31, 2016

	Multi- Managed Growth Portfolio			Multi- Managed Moderate Growth Portfolio			Multi- Managed Income/ Equity Portfolio			Multi- Managed Income Portfolio			Asset Allocation: Diversified Growth Portfolio
Investment Income:
Dividends (unaffiliated)	$	557,136		$	790,390		$	310,148		$	128,377		$	2,484,816
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		573,187			1,595,398			1,953,625			1,998,965			931,415
Total investment income*		1,130,323			2,385,788			2,263,773			2,127,342			3,416,231
Expenses:
Investment advisory and management fees		575,975			991,233			701,616			541,238			1,191,739
Service Fees:
Class 2		32,082			72,912			61,339			49,719			97,415
Class 3		78,526			140,829			87,931			72,380			139,584
Transfer agent fees and expenses		951			951			933			951			3,253
Custodian and accounting fees		106,194			124,772			93,240			90,865			193,307
Reports to shareholders		6,351			10,027			7,497			5,981			13,629
Audit and tax fees		49,943			49,943			49,876			49,876			61,704
Legal fees		7,119			7,869			7,161			6,647			9,587
Trustees' fees and expenses		1,233			2,272			1,686			1,369			2,661
Interest expense		524			972			545			137			5
Other expenses		23,514			25,371			17,238			16,489			33,406
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		882,412			1,427,151			1,029,062			835,652			1,746,290
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			—			—			—			(140,205	)
Fees paid indirectly (Note 5)		(1,272	)		(1,796	)		(411	)		(171	)		(4,698	)
Net expenses		881,140			1,425,355			1,028,651			835,481			1,601,387
Net investment income (loss)		249,183			960,433			1,235,122			1,291,861			1,814,844
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		3,446,135			6,534,618			2,608,684			853,859			9,400,660
Net realized gain (loss) on investments (affiliated)**		—			—			—			—			—
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		(36,991	)		(114,023	)		(40,947	)		5,631			1,021,422
Net realized foreign exchange gain (loss) on other assets and liabilities		347			(445	)		23,308			29,173			190,579
Net realized gain (loss) on investments and foreign currencies		3,409,491			6,420,150			2,591,045			888,663			10,612,661
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(5,825,301	)		(10,373,555	)		(4,421,996	)		(2,362,084	)		(18,536,237	)
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			—			—			—
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		23,099			10,664			(7,820	)		(19,696	)		(544,290	)
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		(11,514	)		(50,984	)		(63,933	)		(58,143	)		(173,244	)
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		7			22			27			27			(706	)
Net unrealized gain (loss) on investments and foreign currencies		(5,813,709	)		(10,413,853	)		(4,493,722	)		(2,439,896	)		(19,254,477	)
Net realized and unrealized gain (loss) on investments and foreign currencies		(2,404,218	)		(3,993,703	)		(1,902,677	)		(1,551,233	)		(8,641,816	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(2,155,035	)	$	(3,033,270	)	$	(667,555	)	$	(259,372	)	$	(6,826,972	)
* Net of foreign withholding taxes on interest and dividends of	$	637		$	954		$	642		$	638		$	62,668
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	41

See Notes to Financial Statements

321

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Year Ended March 31, 2016

	Stock Portfolio			Large Cap Growth Portfolio			Large Cap Value Portfolio			Mid Cap Growth Portfolio			Mid Cap Value Portfolio
Investment Income:
Dividends (unaffiliated)	$	3,295,201		$	6,245,532		$	25,166,520		$	1,945,495		$	6,393,034
Dividends (affiliated)		—			—			48,213			—			3,603
Interest (unaffiliated)		7,382			2,906			13,001			4,526			608
Total investment income*		3,302,583			6,248,438			25,227,734			1,950,021			6,397,245
Expenses:
Investment advisory and management fees		3,974,508			3,580,959			7,082,871			1,901,732			2,791,989
Service Fees:
Class 2		76,818			56,810			48,062			37,500			44,735
Class 3		114,650			498,978			514,504			153,401			197,731
Transfer agent fees and expenses		3,380			2,093			2,129			2,111			2,320
Custodian and accounting fees		69,066			72,711			133,398			57,848			76,720
Reports to shareholders		64,163			57,858			126,878			29,324			36,578
Audit and tax fees		37,506			37,542			37,662			38,462			37,997
Legal fees		10,423			9,738			12,433			6,876			8,430
Trustees' fees and expenses		9,373			8,972			18,117			4,442			6,321
Interest expense		—			790			2,649			14			426
Other expenses		29,615			34,646			58,212			68,312			66,053
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		4,389,502			4,361,097			8,036,915			2,300,022			3,269,300
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			—			—			—			—
Fees paid indirectly (Note 5)		(4,191	)		(6,601	)		(3,737	)		(1,741	)		(20,949	)
Net expenses		4,385,311			4,354,496			8,033,178			2,298,281			3,248,351
Net investment income (loss)		(1,082,728	)		1,893,942			17,194,556			(348,260	)		3,148,894
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		42,309,517			14,973,914			35,496,441			9,954,626			4,640,242
Net realized gain (loss) on investments (affiliated)**		—			—			350,602			—			8,833
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		—			(6,902	)		(23,910	)		(35,861	)		(35,835	)
Net realized foreign exchange gain (loss) on other assets and liabilities		(6,342	)		—			(244,809	)		(2,422	)		(436	)
Net realized gain (loss) on investments and foreign currencies		42,303,175			14,967,012			35,578,324			9,916,343			4,612,804
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(47,053,218	)		(19,427,639	)		(82,112,124	)		(26,730,211	)		(30,214,793	)
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			(349,540	)		—			(26,284	)
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		—			39,297			15,900			12,718			12,700
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		318			(1	)		(185,903	)		158			68
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		(47,052,900	)		(19,388,343	)		(82,631,667	)		(26,717,335	)		(30,228,309	)
Net realized and unrealized gain (loss) on investments and foreign currencies		(4,749,725	)		(4,421,331	)		(47,053,343	)		(16,800,992	)		(25,615,505	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(5,832,453	)	$	(2,527,389	)	$	(29,858,787	)	$	(17,149,252	)	$	(22,466,611	)
* Net of foreign withholding taxes on interest and dividends of	$	5,771		$	222		$	162,625		$	4,932		$	11,143
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

322

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Year Ended March 31, 2016

	Small Cap Portfolio			International Equity Portfolio			Diversified Fixed Income Portfolio			Real Return Portfolio			SA Columbia Focused Growth Portfolio@
Investment Income:
Dividends (unaffiliated)	$	3,231,561		$	18,613,404		$	60,214		$	—		$	806,464
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		2,815			8,353			31,490,444			4,855,222			1,524
Total investment income*		3,234,376			18,621,757			31,550,658			4,855,222			807,988
Expenses:
Investment advisory and management fees		2,238,283			6,547,369			7,395,937			3,682,076			1,893,837
Service Fees:
Class 2		30,605			38,505			53,372			—			45,125
Class 3		157,563			616,558			1,087,872			1,156,656			100,334
Transfer agent fees and expenses		2,129			2,274			2,200			2,382			1,880
Custodian and accounting fees		84,205			218,435			324,147			97,841			26,361
Reports to shareholders		31,893			95,102			148,685			44,005			24,951
Audit and tax fees		38,115			57,739			53,102			49,688			33,878
Legal fees		6,581			16,573			16,527			8,597			18,277
Trustees' fees and expenses		4,961			14,164			23,013			11,836			3,625
Interest expense		308			2,073			270			—			—
Other expenses		39,087			54,330			72,871			17,939			17,216
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		2,633,730			7,663,122			9,177,996			5,071,020			2,165,484
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			(290,464	)		—			—			(403,774	)
Fees paid indirectly (Note 5)		(9,290	)		(15,702	)		—			—			(13,447	)
Net expenses		2,624,440			7,356,956			9,177,996			5,071,020			1,748,263
Net investment income (loss)		609,936			11,264,801			22,372,662			(215,798	)		(940,275	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		4,342,351			(11,093,579	)		(3,384,667	)		(3,212,884	)		18,634,511
Net realized gain (loss) on investments (affiliated)**		—			—			—			—			—
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		(270,287	)		96,235			(414,845	)		—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		(110	)		(285,046	)		(38,394	)		(1,692,157	)		246
Net realized gain (loss) on investments and foreign currencies		4,071,954			(11,282,390	)		(3,837,906	)		(4,905,041	)		18,634,757
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(26,230,364	)		(75,835,699	)		(3,206,785	)		8,510,212			(40,302,540	)
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			—			—			—
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		27,605			237,109			(256,103	)		—			—
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		—			190,508			(679,918	)		(3,612,124	)		437
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		—			—			212			—			—
Net unrealized gain (loss) on investments and foreign currencies		(26,202,759	)		(75,408,082	)		(4,142,594	)		4,898,088			(40,302,103	)
Net realized and unrealized gain (loss) on investments and foreign currencies		(22,130,805	)		(86,690,472	)		(7,980,500	)		(6,953	)		(21,667,346	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(21,520,869	)	$	(75,425,671	)	$	14,392,162		$	(222,751	)	$	(22,607,621	)
* Net of foreign withholding taxes on interest and dividends of	$	6,387		$	1,521,182		$	7,484		$	—		$	20,554
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	872		$	—		$	—

@  See Note 1

See Notes to Financial Statements

323

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Year Ended March 31, 2016

	SA Columbia Focused Value Portfolio@			Allocation Growth Portfolio			Allocation Moderate Growth Portfolio			Allocation Moderate Portfolio			Allocation Balanced Portfolio
Investment Income:
Dividends (unaffiliated)	$	7,274,206		$	—		$	—		$	—		$	—
Dividends (affiliated)		—			889,717			5,850,092			3,989,666			3,588,525
Interest (unaffiliated)		1,199			—			—			—			—
Total investment income*		7,275,405			889,717			5,850,092			3,989,666			3,588,525
Expenses:
Investment advisory and management fees		3,180,695			100,702			559,535			346,503			274,317
Service Fees:
Class 2		22,849			—			—			—			—
Class 3		79,094			—			—			—			—
Transfer agent fees and expenses		2,070			868			884			884			868
Custodian and accounting fees		41,936			12,067			12,068			12,046			12,083
Reports to shareholders		43,712			9,645			53,045			33,879			26,328
Audit and tax fees		33,838			25,415			25,415			25,415			25,415
Legal fees		21,277			8,360			12,782			10,753			10,071
Trustees' fees and expenses		6,169			1,886			10,562			6,549			5,162
Interest expense		—			262			1,206			695			753
Other expenses		21,467			10,481			11,361			9,288			8,433
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		3,453,107			169,686			686,858			446,012			363,430
Fees waived and expenses reimbursed by investment advisor (Note 3)		(737,876	)		(6,483	)		(36,424	)		(22,595	)		(17,834	)
Fees paid indirectly (Note 5)		(18,628	)		—			—			—			—
Net expenses		2,696,603			163,203			650,434			423,417			345,596
Net investment income (loss)		4,578,802			726,514			5,199,658			3,566,249			3,242,929
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		33,605,643			—			—			—			—
Net realized gain (loss) on investments (affiliated)**		—			11,989,615			54,918,899			29,346,558			20,599,360
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			4,463,659			21,183,034			11,842,958			7,312,658
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		81			—			—			—			—
Net realized gain (loss) on investments and foreign currencies		33,605,724			16,453,274			76,101,933			41,189,516			27,912,018
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(53,926,700	)		—			—			—			—
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			(22,341,122	)		(103,748,466	)		(56,411,240	)		(37,157,371	)
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		—			—			—			—			—
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		(96	)		—			—			—			—
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		(53,926,796	)		(22,341,122	)		(103,748,466	)		(56,411,240	)		(37,157,371	)
Net realized and unrealized gain (loss) on investments and foreign currencies		(20,321,072	)		(5,887,848	)		(27,646,533	)		(15,221,724	)		(9,245,353	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(15,742,270	)	$	(5,161,334	)	$	(22,446,875	)	$	(11,655,475	)	$	(6,002,424	)
* Net of foreign withholding taxes on interest and dividends of	$	—		$	—		$	—		$	—		$	—
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

@  See Note 1

See Notes to Financial Statements

324

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS

	Multi-Managed Growth						Multi-Managed Moderate Growth						Multi-Managed Income/Equity
	For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	249,183		$	327,939		$	960,433		$	1,128,448		$	1,235,122		$	1,337,003
Net realized gain (loss) on investments and foreign currencies		3,409,491			9,072,052			6,420,150			14,734,909			2,591,045			8,217,967
Net unrealized gain (loss) on investments and foreign currencies		(5,813,709	)		(994,788	)		(10,413,853	)		(1,752,371	)		(4,493,722	)		(1,472,353	)
Net increase (decrease) in net assets resulting from operations		(2,155,035	)		8,405,203			(3,033,270	)		14,110,986			(667,555	)		8,082,617
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		(76,135	)		(60,164	)		(153,179	)		(110,611	)		(214,682	)		(167,365	)
Net investment income — Class 2		(101,473	)		(73,292	)		(570,968	)		(348,960	)		(782,126	)		(567,412	)
Net investment income — Class 3		(96,646	)		(82,744	)		(406,431	)		(444,104	)		(415,401	)		(566,714	)
Net realized gain on investments — Class 1		(1,717,725	)		(1,819,437	)		(1,581,001	)		(1,423,080	)		(1,037,953	)		(874,403	)
Net realized gain on investments — Class 2		(3,074,786	)		(3,285,247	)		(6,716,357	)		(5,541,223	)		(4,108,047	)		(3,345,586	)
Net realized gain on investments — Class 3		(4,258,366	)		(5,197,288	)		(6,135,987	)		(7,975,950	)		(2,583,431	)		(3,525,633	)
Total distributions to shareholders		(9,325,131	)		(10,518,172	)		(15,563,923	)		(15,843,928	)		(9,141,640	)		(9,047,113	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(1,826,870	)		(1,791,994	)		(23,076,160	)		(7,653,178	)		(21,758,371	)		(4,254,673	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(13,307,036	)		(3,904,963	)		(41,673,353	)		(9,386,120	)		(31,567,566	)		(5,219,169	)
NET ASSETS:
Beginning of period		71,568,204			75,473,167			137,906,414			147,292,534			102,244,559			107,463,728
End of period†	$	58,261,168		$	71,568,204		$	96,233,061		$	137,906,414		$	70,676,993		$	102,244,559
† Includes accumulated undistributed net investment income (loss)	$	205,426		$	272,738		$	827,061		$	1,104,847		$	923,205		$	1,389,671

See Notes to Financial Statements

325

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Multi-Managed Income						Asset Allocation: Diversified Growth						Stock
	For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	1,291,861		$	1,363,956		$	1,814,844		$	1,869,507		$	(1,082,728	)	$	(818,942	)
Net realized gain (loss) on investments and foreign currencies		888,663			4,440,509			10,612,661			17,302,269			42,303,175			34,984,899
Net unrealized gain (loss) on investments and foreign currencies		(2,439,896	)		(831,016	)		(19,254,477	)		(3,687,704	)		(47,052,900	)		30,843,590
Net increase (decrease) in net assets resulting from operations		(259,372	)		4,973,449			(6,826,972	)		15,484,072			(5,832,453	)		65,009,547
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		(166,509	)		(169,084	)		(603,961	)		(389,289	)		—			—
Net investment income — Class 2		(688,623	)		(560,443	)		(1,962,557	)		(1,143,720	)		—			—
Net investment income — Class 3		(394,848	)		(531,579	)		(1,614,810	)		(933,536	)		—			—
Net realized gain on investments — Class 1		(489,233	)		(414,645	)		(1,972,435	)		(154,029	)		(27,443,745	)		(16,764,477	)
Net realized gain on investments — Class 2		(2,184,962	)		(1,516,780	)		(6,760,536	)		(497,444	)		(3,603,791	)		(2,881,721	)
Net realized gain on investments — Class 3		(1,431,258	)		(1,527,729	)		(5,787,933	)		(435,648	)		(3,241,802	)		(2,644,794	)
Total distributions to shareholders		(5,355,433	)		(4,720,260	)		(18,702,232	)		(3,553,666	)		(34,289,338	)		(22,290,992	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(18,352,189	)		(4,680,248	)		(5,813	)		(20,055,272	)		28,910,730			96,140,773
TOTAL INCREASE (DECREASE) IN NET ASSETS		(23,966,994	)		(4,427,059	)		(25,535,017	)		(8,124,866	)		(11,211,061	)		138,859,328
NET ASSETS:
Beginning of period		82,306,874			86,733,933			154,606,303			162,731,169			488,414,431			349,555,103
End of period†	$	58,339,880		$	82,306,874		$	129,071,286		$	154,606,303		$	477,203,370		$	488,414,431
† Includes accumulated undistributed net investment income (loss)	$	967,157		$	1,223,321		$	1,088,052		$	3,843,119		$	(181,077	)	$	(167,862	)

See Notes to Financial Statements

326

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Large Cap Growth						Large Cap Value						Mid Cap Growth
	For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	1,893,942		$	1,846,262		$	17,194,556		$	12,395,153		$	(348,260	)	$	(413,157	)
Net realized gain (loss) on investments and foreign currencies		14,967,012			46,940,608			35,578,324			50,964,474			9,916,343			15,005,167
Net unrealized gain (loss) on investments and foreign currencies		(19,388,343	)		15,404,302			(82,631,667	)		(8,178,883	)		(26,717,335	)		11,105,634
Net increase (decrease) in net assets resulting from operations		(2,527,389	)		64,191,172			(29,858,787	)		55,180,744			(17,149,252	)		25,697,644
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		(1,272,811	)		(723,958	)		(10,426,855	)		(6,566,523	)		—			—
Net investment income — Class 2		(137,762	)		(95,865	)		(361,829	)		(354,385	)		—			—
Net investment income — Class 3		(675,291	)		(242,037	)		(1,666,122	)		(2,258,500	)		—			—
Net realized gain on investments — Class 1		(22,304,836	)		(25,211,895	)		(39,921,882	)		(724,685	)		(8,223,992	)		(9,414,815	)
Net realized gain on investments — Class 2		(3,493,704	)		(5,520,326	)		(1,606,628	)		(45,637	)		(1,485,218	)		(2,248,411	)
Net realized gain on investments — Class 3		(20,669,368	)		(25,792,643	)		(8,988,200	)		(322,503	)		(4,393,643	)		(4,665,696	)
Total distributions to shareholders		(48,553,772	)		(57,586,724	)		(62,971,516	)		(10,272,233	)		(14,102,853	)		(16,328,922	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		76,675,942			35,270,699			68,454,598			224,210,942			30,343,137			49,679,502
TOTAL INCREASE (DECREASE) IN NET ASSETS		25,594,781			41,875,147			(24,375,705	)		269,119,453			(908,968	)		59,048,224
NET ASSETS:
Beginning of period		453,504,258			411,629,111			980,779,042			711,659,589			222,390,007			163,341,783
End of period†	$	479,099,039		$	453,504,258		$	956,403,337		$	980,779,042		$	221,481,039		$	222,390,007
† Includes accumulated undistributed net investment income (loss)	$	2,057,561		$	1,857,494		$	16,940,158		$	12,455,644		$	(5,681	)	$	10,476

See Notes to Financial Statements

327

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Mid Cap Value						Small Cap						International Equity
	For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	3,148,894		$	1,665,248		$	609,936		$	744,848		$	11,264,801		$	9,428,050
Net realized gain (loss) on investments and foreign currencies		4,612,804			54,815,407			4,071,954			18,907,846			(11,282,390	)		15,128,952
Net unrealized gain (loss) on investments and foreign currencies		(30,228,309	)		(20,674,153	)		(26,202,759	)		(5,488,931	)		(75,408,082	)		(26,919,471	)
Net increase (decrease) in net assets resulting from operations		(22,466,611	)		35,806,502			(21,520,869	)		14,163,763			(75,425,671	)		(2,362,469	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		(1,377,801	)		(1,396,766	)		(708,035	)		(271,551	)		(6,074,171	)		(5,776,920	)
Net investment income — Class 2		(117,685	)		(233,054	)		(37,291	)		(11,007	)		(265,717	)		(386,061	)
Net investment income — Class 3		(189,523	)		(638,014	)		—			—			(2,505,468	)		(3,445,547	)
Net realized gain on investments — Class 1		(39,558,389	)		(13,575,916	)		(13,558,703	)		(5,069,902	)		—			—
Net realized gain on investments — Class 2		(4,702,201	)		(2,793,720	)		(1,419,975	)		(959,375	)		—			—
Net realized gain on investments — Class 3		(10,276,593	)		(10,001,795	)		(3,973,748	)		(3,592,953	)		—			—
Total distributions to shareholders		(56,222,192	)		(28,639,265	)		(19,697,752	)		(9,904,788	)		(8,845,356	)		(9,608,528	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		48,662,594			269,829			97,811,846			32,890,036			121,746,995			163,788,806
TOTAL INCREASE (DECREASE) IN NET ASSETS		(30,026,209	)		7,437,066			56,593,225			37,149,011			37,475,968			151,817,809
NET ASSETS:
Beginning of period		342,022,132			334,585,066			256,561,307			219,412,296			716,278,123			564,460,314
End of period†	$	311,995,923		$	342,022,132		$	313,154,532		$	256,561,307		$	753,754,091		$	716,278,123
† Includes accumulated undistributed net investment income (loss)	$	3,144,964		$	1,677,034		$	573,011		$	708,511		$	10,474,412		$	7,884,361

See Notes to Financial Statements

328

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Diversified Fixed Income						Real Return						SA Columbia Focused Growth*
	For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	22,372,662		$	18,085,941		$	(215,798	)	$	(5,958,050	)	$	(940,275	)	$	(801,008	)
Net realized gain (loss) on investments and foreign currencies		(3,837,906	)		9,659,254			(4,905,041	)		35,251,270			18,634,757			20,945,051
Net unrealized gain (loss) on investments and foreign currencies		(4,142,594	)		17,251,408			4,898,088			(18,161,543	)		(40,302,103	)		(1,791,625	)
Net increase (decrease) in net assets resulting from operations		14,392,162			44,996,603			(222,751	)		11,131,677			(22,607,621	)		18,352,418
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		(14,449,739	)		(9,947,864	)		(6,524,327	)		—			—			—
Net investment income — Class 2		(592,495	)		(625,050	)		—			—			—			—
Net investment income — Class 3		(7,913,570	)		(6,039,794	)		(17,083,216	)		—			—			—
Net realized gain on investments — Class 1		(5,010,064	)		—			—			—			(12,385,264	)		(17,354,199	)
Net realized gain on investments — Class 2		(226,267	)		—			—			—			(2,909,028	)		(6,502,484	)
Net realized gain on investments — Class 3		(3,122,581	)		—			—			—			(4,223,892	)		(8,295,360	)
Total distributions to shareholders		(31,314,716	)		(16,612,708	)		(23,607,543	)		—			(19,518,184	)		(32,152,043	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		158,095,411			144,130,047			(68,578,496	)		41,867,976			68,598,372			28,811,618
TOTAL INCREASE (DECREASE) IN NET ASSETS		141,172,857			172,513,942			(92,408,790	)		52,999,653			26,472,567			15,011,993
NET ASSETS:
Beginning of period		1,081,662,003			909,148,061			688,994,875			635,995,222			179,037,456			164,025,463
End of period†	$	1,222,834,860		$	1,081,662,003		$	596,586,085		$	688,994,875		$	205,510,023		$	179,037,456
† Includes accumulated undistributed net investment income (loss)	$	14,057,319		$	22,718,506		$	(5,858,717	)	$	18,249,519		$	—		$	—

* See Note 1

See Notes to Financial Statements

329

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Columbia Focused Value*						Allocation Growth						Allocation Moderate Growth
	For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	4,578,802		$	3,127,987		$	726,514		$	644,813		$	5,199,658		$	4,338,965
Net realized gain (loss) on investments and foreign currencies		33,605,724			14,967,162			16,453,274			12,996,065			76,101,933			54,095,934
Net unrealized gain (loss) on investments and foreign currencies		(53,926,796	)		9,182,958			(22,341,122	)		(5,918,939	)		(103,748,466	)		(20,024,462	)
Net increase (decrease) in net assets resulting from operations		(15,742,270	)		27,278,107			(5,161,334	)		7,721,939			(22,446,875	)		38,410,437
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		(2,795,890	)		(1,508,667	)		—			—			—			—
Net investment income — Class 2		(120,419	)		(78,996	)		—			—			—			—
Net investment income — Class 3		(211,679	)		(115,582	)		(1,393,950	)		(723,183	)		(7,563,752	)		(6,087,464	)
Net realized gain on investments — Class 1		(2,595,028	)		—			—			—			—			—
Net realized gain on investments — Class 2		(136,763	)		—			—			—			—			—
Net realized gain on investments — Class 3		(282,281	)		—			—			—			(43,890,397	)		—
Total distributions to shareholders		(6,142,060	)		(1,703,245	)		(1,393,950	)		(723,183	)		(51,454,149	)		(6,087,464	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		24,557,664			65,951,219			(11,962,635	)		(15,500,732	)		(8,005,359	)		(79,357,234	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		2,673,334			91,526,081			(18,517,919	)		(8,501,976	)		(81,906,383	)		(47,034,261	)
NET ASSETS:
Beginning of period		328,341,644			236,815,563			110,769,329			119,271,305			605,232,749			652,267,010
End of period†	$	331,014,978		$	328,341,644		$	92,251,410		$	110,769,329		$	523,326,366		$	605,232,749
† Includes accumulated undistributed net investment income (loss)	$	4,578,884		$	3,127,989		$	1,524,052		$	1,393,950		$	9,027,943		$	7,563,751

* See Note 1

See Notes to Financial Statements

330

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Allocation Moderate						Allocation Balanced
	For the year ended March 31, 2016			For the year ended March 31, 2015			For the year ended March 31, 2016			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	3,566,249		$	2,833,592		$	3,242,929		$	2,347,464
Net realized gain (loss) on investments and foreign currencies		41,189,516			28,690,691			27,912,018			20,319,274
Net unrealized gain (loss) on investments and foreign currencies		(56,411,240	)		(8,727,498	)		(37,157,371	)		(5,019,104	)
Net increase (decrease) in net assets resulting from operations		(11,655,475	)		22,796,785			(6,002,424	)		17,647,634
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			—			—			—
Net investment income — Class 2		—			—			—			—
Net investment income — Class 3		(4,404,705	)		(4,082,422	)		(3,490,952	)		(3,565,216	)
Net realized gain on investments — Class 1		—			—			—			—
Net realized gain on investments — Class 2		—			—			—			—
Net realized gain on investments — Class 3		(23,424,981	)		(8,872,181	)		(17,983,880	)		(18,605,664	)
Total distributions to shareholders		(27,829,686	)		(12,954,603	)		(21,474,832	)		(22,170,880	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(11,318,833	)		(28,653,144	)		(14,976,875	)		(10,695,792	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(50,803,994	)		(18,810,962	)		(42,454,131	)		(15,219,038	)
NET ASSETS:
Beginning of period		373,985,487			392,796,449			299,059,465			314,278,503
End of period†	$	323,181,493		$	373,985,487		$	256,605,334		$	299,059,465
† Includes accumulated undistributed net investment income (loss)	$	5,699,000		$	4,404,705		$	4,597,839		$	3,490,952

See Notes to Financial Statements

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SEASONS SERIES TRUST
NOTES TO FINANCIALS STATEMENTS

Note 1.  Description of Business and Basis of Presentation: Seasons Series Trust (the "Trust"), organized as a Massachusetts business trust on October 10, 1995, is an open-end management investment company. The Trust consists of 20 separate series or portfolios (each, a "Portfolio," and collectively, the "Portfolios"). Shares of the Portfolios are issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life policies (collectively, the "Variable Contracts"). Shares of the Trust are not offered directly to the public. Instead, they are offered through the Variable Contracts issued by life insurance companies affiliated with the Trust's adviser, SunAmerica Asset Management, LLC ("SAAMCo" or the "Adviser"). SAAMCo and the life companies are indirect wholly-owned subsidiaries of American International Group, Inc., a Delaware corporation ("AIG"). SAAMCo serves as investment adviser for all the Portfolios of the Trust. Shares of the Trust are held by separate accounts of American General Life Insurance Company ("AGL"), a Texas life insurer, The Variable Annuity Life Insurance Company ("VALIC"), a Texas life insurer and The United States Life Insurance Company in The City of New York ("USL"), a New York life insurer. AGL, VALIC and USL are wholly-owned subsidiaries of AIG. Each of the life insurance companies listed above are collectively referred to as the "Life Companies."

Each of the Portfolios represents a separate managed portfolio of securities with its own investment objectives. The Board of Trustees may establish additional portfolios or classes in the future. Six of the Portfolios, called the "Seasons Strategies Portfolios," are available only through the selection of one of four "strategies" described in the Seasons Variable Contract prospectus. The Seasons Strategies Portfolios may also be available indirectly through certain investment options under other Variable Contracts offered by the Life Companies. Fourteen additional Portfolios, called the "Seasons Select Portfolios," the "Seasons Focused Portfolios" and the "Seasons Managed Allocation Portfolios," are available in addition to the Seasons Strategies Portfolios as variable investment options under Variable Contracts offered by the Life Companies. All shares may be purchased or redeemed at net asset value without any sales or redemption charge. Please refer to your Seasons Variable Contract prospectus for sales and/or redemption changes under your variable contract. Each Seasons Managed Allocation Portfolio is structured as a "fund-of-funds" which means that it pursues its investment goal by investing its assets in a combination of the Seasons Select Portfolios and the Seasons Focused Portfolios (collectively, the "Underlying Portfolios").

Class 1 shares, Class 2 shares and/or Class 3 shares of each Portfolio may be offered only in connection with certain Variable Contracts. Class 2 and Class 3 shares of a given Portfolio are identical in all respects to Class 1 shares of the same Portfolio, except that (i) each class may bear differing amounts of certain class-specific expenses; (ii) except for the Seasons Managed Allocation Portfolios*, Class 2 and Class 3 shares are subject to service fees, while Class 1 shares are not subject to service fees; and (iii) Class 2 and Class 3 shares have voting rights on matters that pertain to the Rule 12b-1 plan adopted with respect to Class 2 and Class 3 shares. Class 2 and Class 3 shares of each Portfolio, excluding the Seasons Managed Allocation Portfolios*, pay service fees at an annual rate of 0.15% and 0.25%, respectively, of each class' average daily net assets.

Effective July 29, 2015, the names of the Focus Growth Portfolio and Focus Value Portfolio changed to the "SA Columbia Focused Growth Portfolio" and "SA Columbia Focused Value Portfolio," respectively.

The investment goal for each Portfolio is as follows:

Seasons Portfolios

The Multi-Managed Growth Portfolio seeks long-term growth of capital.

The Multi-Managed Moderate Growth Portfolio seeks long-term growth of capital, with capital preservation as a secondary objective.

The Multi-Managed Income/Equity Portfolio seeks conservation of principal while maintaining some potential for long-term growth of capital.

The Multi-Managed Income Portfolio seeks capital preservation.

The Asset Allocation: Diversified GrowthPortfolio seeks capital appreciation by investing, under normal circumstances, through strategic allocation of approximately 80% (with a range of 65-95%) of its assets in equity securities and approximately 20% (with a range of 5-35%) of its assets in fixed income securities.

*  See Note 14

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The Stock Portfolio seeks long-term capital appreciation with a secondary objective of increasing dividend income by investing, under normal circumstances, at least 80% of its net assets in common stocks of a diversified group of growth companies.

Seasons Select Portfolios

The Large Cap Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of large capitalization companies selected through a growth strategy.

The Large Cap Value Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of large companies selected through a value strategy.

The Mid Cap Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of medium-capitalization companies selected through a growth strategy.

The Mid Cap Value Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of medium-capitalization companies selected through a value strategy.

The Small Cap Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of small-cap companies.

The International Equity Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of issuers in at least three countries other than the U.S.

The Diversified Fixed Income Portfolio seeks relatively high current income and, secondarily, capital appreciation by investing, under normal circumstances, at least 80% of its net assets in fixed income securities including U.S. and foreign government securities, asset- and mortgage-backed securities, investment-grade debt securities, and lower-rated fixed income securities, or junk bonds.

The Real Return Portfolio seeks total return that equals or exceeds the rate of inflation over the long term, consistent with prudent investment management by investing, under normal circumstances, primarily in inflation-adjusted debt securities including inflation-indexed bonds issued by the U.S. Treasury and inflation-indexed securities issued by other entities such as U.S. and foreign corporations and foreign governments.

Seasons Focused Portfolios

The SA Columbia Focused Growth Portfolio (f/k/a Focus Growth Portfolio) seeks long-term growth of capital by investing in equity securities selected on the basis of growth criteria. The Portfolio invests primarily in common stock of large-cap companies.

The SA Columbia Focused Value Portfolio (f/k/a Focus Value Portfolio) seeks long-term growth of capital by investing in equity securities selected on the basis of value criteria. The Portfolio invests primarily in common stock of large-cap companies.

Seasons Managed Allocation Portfolios

The Allocation Growth Portfolio seeks long-term capital appreciation by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 70% of its net assets in equity portfolios.

The Allocation Moderate Growth Portfolio seeks long-term capital appreciation by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 30% and no more than 90% of its net assets in equity portfolios and at least 10% and no more than 70% of its net assets in fixed income portfolios.

The Allocation Moderate Portfolio seeks long-term capital appreciation and moderate current income by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 20% and no more than 80% of its net assets in equity portfolios and at least 20% and no more than 80% of its net assets in fixed income portfolios.

The Allocation Balanced Portfolio seeks long-term capital appreciation and current income by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests no more than 70% of its net assets in equity portfolios.

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Each Portfolio is diversified as such term is defined under the Investment Company Act of 1940, as amended (the "1940 Act").

Each of the Seasons Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity and Multi-Managed Income Portfolios ("Multi-Managed Seasons Portfolio(s)") allocates all of its assets among two or three distinct Managed Components, each managed by a separate Manager ("Manager" or collectively "Managers"). As of March 31, 2016, the three Managers of the Multi-Managed Seasons Portfolios are J.P.Morgan Investment Management, Inc. ("J.P.Morgan"), Janus Capital Management LLC ("Janus"), and Wellington Management Company LLP ("WMC"). Each Multi-Managed Seasons Portfolio will be allocated among the Managed Components of such Portfolio as described in the chart below:

Portfolio	Small Cap Growth component J.P.Morgan			Growth component Janus			Fixed Income component WMC
Multi-Managed Growth		20	%		54	%		26	%
Multi-Managed Moderate Growth		18			40.6			41.4
Multi-Managed Income/Equity		N/A			32			68
Multi-Managed Income		N/A			16.5			83.5

Differences in investment returns among the Managed Components will cause the actual percentages to vary over the course of a calendar quarter from the targets listed in the chart. Accordingly, the assets of each Multi-Managed Seasons Portfolio will be reallocated or "rebalanced" among the managed components on at least a quarterly basis to restore the target allocations for such Portfolio.

Each Seasons Select Portfolio except Real Return Portfolio (referred to hereinafter as the "Multi-Managed Seasons Select Portfolio(s)") is managed by several separate managers each of which advises a separate portion of the Portfolio. Each Multi-Managed Seasons Select Portfolio will allocate one portion of its portfolio to a passively-managed strategy that seeks to track a target index, or a subset of an index.

The Seasons Focused Portfolios offer access to a professional Manager that actively selects a limited number of stocks that represent its best ideas. This "Focused" approach to investing results in a more concentrated Portfolio, which will be less diversified than other Portfolios, and may be subject to greater market risks.

New share purchase and redemption requests in each Multi-Managed Seasons Select Portfolio will be allocated equally among the Managers, unless SAAMCo determines, subject to the review of the Board of Trustees (the "Board"), that a different allocation of assets would be in the best interest of the Portfolio and its shareholders.

Indemnifications: The Trust's organizational documents provide current and former officers and trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust. In addition, pursuant to Indemnification Agreements between the Trust and each of the current (and certain former) trustees who is not an "interested person," as defined in Section 2(a)(19) of the Act, of the Trust (collectively, the "Disinterested Trustees"), the Trust provides the Disinterested Trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust, whether such liabilities are asserted during or after their service as trustees. In addition, in the normal course of business, the Trust enters into contracts that contain the obligation to indemnify others. The Trust's maximum exposure under these arrangements is unknown. Currently, however, the Trust expects the risk of loss to be remote.

Note 2.  Significant Accounting Policies: The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be significant. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements:

Security Valuation: In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions

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that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:

Level 1 — Unadjusted quoted prices in active markets for identical securities

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board, etc.)

Level 3 — Significant unobservable inputs (includes inputs that reflect the Portfolios' own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)

Changes in valuation techniques may result in transfers in or out of an investment's assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The summary of each Portfolio's assets and liabilities classified in the fair value hierarchy as of March 31, 2016, is reported on a schedule following each Portfolio's Portfolio of Investments.

Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price ("NOCP"). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.

As of the close of regular trading on the New York Stock Exchange ("NYSE"), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security's price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio's shares, and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.

Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.

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Senior floating rate loans ("Loans") are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.

Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.

Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by a Board-approved pricing service as of the close of the exchange on which they are traded, and are generally categorized as Level 1. Option contracts traded in over the counter ("OTC") market are valued based upon the average of quotations received from at least two brokers in such securities or currencies, and are generally categorized as Level 1. Option contracts on swaps ("swaptions") and other option derivatives (i.e., straddle options) are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized and Level 2. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded over the counter are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts ("forward contracts") are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.

Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market, and are generally categorized as Level 1 or Level 2.

The Board is responsible for the share valuation process and has adopted policies and procedures (the "PRC Procedures") for valuing the securities and other assets held by the Portfolios, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust's fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.

Derivative Instruments

Forward Foreign Currency Contracts: During the period, the Large Cap Value, Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth, International Equity, Diversified Fixed Income and Real Return Portfolios used forward contracts to attempt to protect the value of securities and related receivable and payables against changes in future foreign exchange rates, to manage and/or gain exposure to certain foreign currencies and to enhance total return.

A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Portfolio as unrealized appreciation or depreciation. On the settlement date, a Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Risks to a Portfolio of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio's loss will generally consist of the net amount of contractual payments that the Portfolio has not yet received though the Portfolio's maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on

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the Statement of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.

Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Futures: During the period, the Large Cap Growth, Large Cap Value, Mid Cap Growth, Mid Cap Value, Small Cap and International Equity Portfolios used futures contracts to increase or decrease exposure to equity or bond markets. The Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income and Diversified Fixed Income Portfolios used futures contracts to manage duration and yield curve positioning and to increase exposure to equity or bond markets. The Asset Allocation: Diversified Growth Portfolio used futures contracts to hedge against changes in interest rates, increase exposure to equity or bond markets and enhance total return.

A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the "broker"). Subsequent payments are made or received by a Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statement of Assets and Liabilities as variation margin for changes in the value of the contracts and as due to/from broker for the changes in the value of the initial margin requirement. When a contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The primary risk to a Portfolio of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security(ies). Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While a Portfolio will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, the Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to a Portfolio since the futures contracts are generally exchange-traded.

Future contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Options: During the period, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth and Diversified Fixed Income Portfolio used option contracts to seek protection against a decline in the value of a Portfolio's securities or an increase in prices of securities that may be purchased or to generate income.

An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. When a Portfolio writes a call or a put option, it receives a premium which is equal to the current market value of the option written. The premiums on written options are recorded as a liability on the Statement of Assets and Liabilities. If a Portfolio purchases a call or a put option, it pays a premium which reflects the current market value of the option and which is included on the Portfolio's Statement of Assets and Liabilities as an investment. The option position is marked to market daily and its value fluctuates based upon the value of the underlying financial instrument, time to expiration, cost of borrowing funds, and volatility of the value of the underlying financial instrument. If an option which a Portfolio has written either expires on its stipulated expiration date, or if the Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such options is extinguished. If a call option which a Portfolio has written is exercised, the Portfolio realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are increased by the premium originally received. If a put option which a Portfolio has written is

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exercised, the amount of the premium originally received reduces the cost of the security which the Portfolio purchased upon exercise of the option. Options may be traded on a national securities exchange or in the OTC market.

Risks to a Portfolio of entering into option contracts include counterparty risk, market risk and, with respect to OTC options, illiquidity risk. Counterparty risk arises from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio's loss will consist of the net amount of contractual payments that the Portfolio has not yet received. Market risk is the risk that there will be an unfavorable change in the value of the underlying securities. There is also the risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market. In addition, unlisted options are not traded on an exchange and may not be as actively traded as listed options, making the valuation of such securities more difficult. An unlisted option also entails a greater risk that the party on the other side of the option transaction may default, which would make it impossible to close out an unlisted option position in some cases, and profits related to the transaction lost thereby.

Option contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Transactions in options written during the year ended March 31, 2016 are summarized as follows:

	Written Options
	Asset Allocation: Diversified Growth Portfolio
	Notional Amounts			Premiums Received
Options outstanding as of March 31, 2015	$	93,670		$	37,962
Options written		—			—
Options terminated in closing purchase transactions		—			—
Options exercised		—			—
Options expired		(93,670	)		(37,962	)
Options outstanding as of March 31, 2016	$	—		$	—

Swap Contracts: Certain Portfolios may enter into credit default, interest rate, equity and/or total return swap contracts. Swap contracts are privately negotiated in the OTC market and may be entered into as a bilateral contract or a centrally cleared contract ("centrally cleared swaps"). In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the "CCP") and a Portfolio faces the CCP through a broker. Upon entering into a centrally cleared swap, a Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Portfolio of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as due from broker. Unlike a bilateral swap contract, for centrally cleared swaps, a Portfolio has no credit exposure to the counterparty as the CCP stands between the Portfolios and the counterparty. Swaps are marked-to-market daily based upon quotations from market makers or are calculated using standard models and current market data. Changes in value are recorded as an unrealized gain (loss). The daily change in valuation of swap contracts, if any, is recorded as unrealized appreciation (depreciation) on swap contracts. When the swap is terminated, a Portfolio will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Portfolio's basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Upfront payments and receipts on swap contracts are amortized on a daily basis. Net periodic payments made or received by a Portfolio are included as part of realized gain (loss).

Credit Default Swap Agreements: During the period, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income and Diversified Fixed Income Portfolios used credit default swaps to manage credit risk (i.e., hedging), as a substitute for physical securities and to enhance returns.

Credit default swaps are generally contracts in which one party makes periodic fixed-rate payments or a one time premium payment (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified payment in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively add leverage

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to its portfolio because, in addition to its total net assets, the Portfolio would be subject to investment exposure on the notional amount of the swap. If a Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. As a buyer of protection on credit default swaps, a Portfolio will make periodic payments, similar to an insurance premium and the seller of protection agrees to compensate the Portfolio for future potential losses as a result of a credit event on the reference bond or other asset. A Portfolio effectively transfers the credit event risk of the reference bond or asset from it to the seller of protection. If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Credit default swaps on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to deliver option (the buyer of protection's right to choose the deliverable obligation with the lowest value following a credit event). A Portfolio may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers (i.e., to reduce credit risk where the Portfolio owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular issuer's default.

Credit default swaps on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Portfolio may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular referenced obligation's default.

Credit default swaps on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name's weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Portfolio may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in credit quality.

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Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are reported on a schedule following each Portfolio's Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-based securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swaps outstanding at the end of the period, for which a Portfolio is the seller of protection, if any, are disclosed on a schedule following each Portfolio's Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Portfolio for the same referenced entity or entities.

Credit default swap contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Equity Swap Agreements: During the period, the Asset Allocation: Diversified Growth Portfolio used equity swaps, a type of total return swap, to hedge the portfolio's sector exposure, to gain exposure to certain sectors and to enhance total return.

Equity swaps are contracts that are typically entered into for the purpose of investing in a security or index without owning or taking physical custody of securities. Total return swaps are contracts that obligate a party to pay or receive interest in exchange for the payment by the other party of the total return generated by a security, a basket of securities, an index or an index component. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.

The counterparty to an equity swap will typically be a bank, investment banking firm or broker/dealer. Equity swaps may be structured in different ways. The counterparty will generally agree to pay a Portfolio the amount, if any, by which the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In these cases, a Portfolio may agree to pay to the counterparty a floating rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks.

Therefore, the return to a Portfolio on any equity swap should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Portfolio on the notional amount. In other cases, the counterparty and a Portfolio may agree to pay the other the difference between the relative investment performances that would have been achieved if the notional amount of the equity swap contract had been invested in different stocks (or indices of stocks).

A Portfolio will generally enter into equity swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of an equity swap contract or periodically during its term. Equity swaps normally do not involve the delivery of securities or other underlying assets.

Accordingly, the risk of loss with respect to equity swaps is normally limited to the net amount of payments that a Portfolio is contractually obligated to make. If the counterparty to an equity swap defaults, a Portfolio's risk of loss consists of the net discounted amount of payments that the Portfolio is contractually entitled to receive, if any. In addition, the value of some components of an equity swap (such as the dividends on a common stock) may also be sensitive to changes in interest rates.

Equity swap contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Interest Rate Swap Agreements:  During the period, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income and Diversified Fixed Income Portfolios used interest rate swap agreements, including cross-currency swaps, to manage exposure to fluctuations in interest rates and to make active interest rate anticipation

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decisions. Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Since interest rate swaps are individually negotiated, a Portfolio expects to achieve an acceptable degree of correlation between their respective portfolio investments and their interest rate positions. A Portfolio will enter into interest rate swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolios receiving or paying, as the case may be, only the net amount of the two payments.

A cross-currency swap is an interest rate swap agreement where the two instruments are denominated in two different currencies. Each agreement comprises both long and short exposures based on the reference legs of the swap.

Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Portfolio is contractually obligated to make. If the other party to an interest rate swap defaults, a Portfolio's risk of loss consists of the net discounted amount of interest payments that the Portfolio is contractually entitled to receive, if any. The use of interest rate swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions.

Interest rate swap contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Portfolio may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the underlying security or index, or the underlying referenced asset's perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that the sub-adviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, a Portfolio may suffer a loss.

Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements ("Master Agreements") with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio's net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when the Portfolio's net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline the Portfolio's net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty's long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty's credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Portfolio's counterparties to elect early termination could cause the Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Portfolio's financial statements. The Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

The following tables represent the value of derivatives held as of March 31, 2016, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities and the effect of derivatives on the Statement of Operations for the year ended March 31, 2016. The derivative contracts held during the period are not accounted for as hedging instruments under GAAP. For a detailed presentation of derivatives held as of March 31, 2016, please refer to a schedule following each Portfolio's Portfolio of Investments.

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	Asset Derivatives
	Interest Rate Contracts						Equity Contracts						Credit Contracts		Foreign Exchange Contracts
Portfolio	Futures Contracts(1)(8)		Swap Contracts(2)		Options Purchased(3)		Futures Contracts(1)(8)		Swap Contracts(2)		Options Purchased(3)		Swap Contracts(2)		Foreign Exchange Contracts(4)		Options Purchased(3)		Total
Multi-Managed Growth Portfolio	$	—	$	1,767	$	—	$	520	$	—	$	—	$	—	$	6,913	$	754	$	9,954
Multi-Managed Moderate Growth Portfolio		26,442		4,594		—		1,300		—		—		—		21,734		1,955		56,025
Multi-Managed Income/Equity Portfolio		26,911		5,536		—		—		—		—		—		26,639		2,352		61,438
Multi-Managed Income Portfolio		26,348		5,498		—		—		—		—		—		26,231		2,348		60,425
Asset Allocation: Diversified Growth Portfolio		27,203		—		—		5,605		62,596		—		—		320,161		—		415,565
Large Cap Growth Portfolio		—		—		—		700		—		—		—		—		—		700
Large Cap Value Portfolio		—		—		—		200		—		—		—		2,639		—		2,839
Mid Cap Growth Portfolio		—		—		—		160		—		—		—		—		—		160
Mid Cap Value Portfolio		—		—		—		160		—		—		—		—		—		160
Small Cap Portfolio		—		—		—		7,116		—		—		—		—		—		7,116
International Equity Portfolio		—		—		—		—		—		—		—		—		—		—
Diversified Fixed Income Portfolio		149,000		66,560		—		—		—		—		45,421		268,655		45,673		575,309
Real Return Portfolio		—		—		—		—		—		—		—		940		—		940

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	Liability Derivatives
	Interest Rate Contracts						Equity Contracts						Credit Contracts		Foreign Exchange Contracts
Portfolio	Futures Contracts(1)(8)		Swap Contracts(5)		Options Written(6)		Futures Contracts(1)(8)		Swap Contracts(5)		Options Written(6)		Swap Contracts(5)		Foreign Exchange Contracts(7)		Options Written(6)		Total
Multi-Managed Growth Portfolio	$	4,468	$	3,024	$	—	$	—	$	—	$	—	$	—	$	20,523	$	—	$	28,015
Multi-Managed Moderate Growth Portfolio		36,714		8,061		—		—		—		—		—		71,898		—		116,673
Multi-Managed Income/Equity Portfolio		37,042		10,051		—		—		—		—		—		91,059		—		138,152
Multi-Managed Income Portfolio		39,119		10,090		—		—		—		—		—		85,159		—		134,368
Asset Allocation: Diversified Growth Portfolio		35,203		—		—		21,600		434,393		—		—		205,464		—		696,660
Large Cap Growth Portfolio		—		—		—		—		—		—		—		—		—		—
Large Cap Value Portfolio		—		—		—		—		—		—		—		188,247		—		188,247
Mid Cap Growth Portfolio		—		—		—		—		—		—		—		—		—		—
Mid Cap Value Portfolio		—		—		—		—		—		—		—		—		—		—
Small Cap Portfolio		—		—		—		—		—		—		—		—		—		—
International Equity Portfolio		—		—		—		191,520		—		—		—		—		—		191,520
Diversified Fixed Income Portfolio		339,686		238,077		—		—		—		—		—		919,280		—		1,497,043
Real Return Portfolio		—		—		—		—		—		—		—		4,005,169		—		4,005,169

Statement of Assets and Liabilities Location:

(1)  Variation margin on futures contracts

(2)  Unrealized appreciation on swap contracts

(3)  Investments, at value

(4)  Unrealized appreciation on forward foreign currency contracts

(5)  Unrealized depreciation on swap contracts

(6)  Call and put options written, at value

(7)  Unrealized depreciation on forward foreign currency contracts

(8)  The variation margin on futures contracts is included in the cumulative appreciation (depreciation) as reported on each Portfolio's Portfolio of Investments in the following amounts:

Portfolio	Cumulative Appreciation (Depreciation)
Multi-Managed Growth Portfolio	$	6,340
Multi-Managed Moderate Growth Portfolio		2,842
Multi-Managed Income/Equity Portfolio		(17,934	)
Multi-Managed Income Portfolio		(7,290	)
Asset Allocation: Diversified Growth Portfolio		(251,017	)
Large Cap Growth Portfolio		32,480
Large Cap Value Portfolio		14,180

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Portfolio	Cumulative Appreciation (Depreciation)
Mid Cap Growth Portfolio	$	17,653
Mid Cap Value Portfolio		17,653
Small Cap Portfolio		78,853
International Equity Portfolio		162,588
Diversified Fixed Income Portfolio		(106,916	)

	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations
	Interest Rate Contracts									Equity Contracts								Credit Contracts			Foreign Exchange Contracts
Portfolio	Futures Contracts(1)			Swap Contracts(1)			Options Purchased(6)			Futures Contracts(1)			Swap Contracts(1)		Options*			Swap Contracts(1)			Foreign Exchange Contracts(2)			Options Purchased(6)			Total
Multi-Managed Growth Portfolio	$	(14,988	)	$	(1,405	)	$	—		$	(17,503	)	$	—	$	—		$	(3,095	)	$	(3,136	)	$	(3,512	)	$	(43,639	)
Multi-Managed Moderate Growth Portfolio		(41,526	)		(4,086	)		—			(65,548	)		—		—			(2,863	)		(1,732	)		(11,860	)		(127,615	)
Multi-Managed Income/Equity Portfolio		(38,877	)		(4,139	)		—			—			—		—			2,069			24,847			(13,818	)		(29,918	)
Multi-Managed Income Portfolio		7,953			(5,072	)		—			—			—		—			2,750			30,605			(14,430	)		21,806
Asset Allocation: Diversified Growth Portfolio		(21,772	)		—			—			608,481			396,750		(19,542	)		—			207,001			—			1,170,918
Large Cap Growth Portfolio		—			—			—			(6,902	)		—		—			—			—			—			(6,902	)
Large Cap Value Portfolio		—			—			—			(23,910	)		—		—			—			(218,663	)		—			(242,573	)
Mid Cap Growth Portfolio		—			—			—			(35,861	)		—		—			—			—			—			(35,861	)
Mid Cap Value Portfolio		—			—			—			(35,835	)		—		—			—			—			—			(35,835	)
Small Cap Portfolio		—			—			—			(270,287	)		—		—			—			—			—			(270,287	)
International Equity Portfolio		—			—			—			96,235			—		—			—			(749	)		—			95,486
Diversified Fixed Income Portfolio		1,023,553			(57,041	)		(116,049	)		—			—		—			(1,381,357	)		17,023			(111,063	)		(624,934	)
Real Return Portfolio		—			—			—			—			—		—			—			(2,461,084	)		—			(2,461,084	)

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	Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations
	Interest Rate Contracts								Equity Contracts								Credit Contracts		Foreign Exchange Contracts
Portfolio	Futures Contracts(3)			Swap Contracts(3)			Options Purchased(5)		Futures Contracts(3)			Swap Contracts(3)			Options*		Swap Contracts(3)		Foreign Exchange Contracts(4)			Options Purchased(5)		Total
Multi-Managed Growth Portfolio	$	24,693		$	(1,257	)	$	—	$	(3,264	)	$	—		$	—	$	2,927	$	(11,676	)	$	1,213	$	12,636
Multi-Managed Moderate Growth Portfolio		4,481			(3,467	)		—		2,046			—			—		7,604		(51,588	)		5,060		(35,864	)
Multi-Managed Income/Equity Portfolio		(4,935	)		(4,515	)		—		—			—			—		1,630		(64,804	)		5,548		(67,076	)
Multi-Managed Income Portfolio		(16,342	)		(4,591	)		—		—			—			—		1,237		(59,023	)		6,133		(72,586	)
Asset Allocation: Diversified Growth Portfolio		(68,123	)		—			—		(75,379	)		(383,778	)		17,520		—		(177,640	)		—		(687,400	)
Large Cap Growth Portfolio		—			—			—		39,297			—			—		—		—			—		39,297
Large Cap Value Portfolio		—			—			—		15,900			—			—		—		(185,608	)		—		(169,708	)
Mid Cap Growth Portfolio		—			—			—		12,718			—			—		—		—			—		12,718
Mid Cap Value Portfolio		—			—			—		12,700			—			—		—		—			—		12,700
Small Cap Portfolio		—			—			—		27,605			—			—		—		—			—		27,605
International Equity Portfolio		—			—			—		237,109			—			—		—		—			—		237,109
Diversified Fixed Income Portfolio		(181,151	)		(171,516	)		—		—			—			—		96,564		(694,558	)		144,538		(806,123	)
Real Return Portfolio		—			—			—		—			—			—		—		(3,726,123	)		—		(3,726,123	)

*  Includes amounts relating to purchased and written options as follows:

	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations									Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations
	Interest Rate Contracts				Equity Contracts					Interest Rate Contracts				Equity Contracts
	Options Purchased(6)		Options Written(1)		Options Purchased(6)			Options Written(1)		Options Purchased(5)		Options Written(3)		Options Purchased(5)		Options Written(3)
Asset Allocation: Diversified Growth Portfolio	$	—	$	—	$	(57,504	)	$	37,962	$	—	$	—	$	34,530	$	(17,010	)

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Statement of Operations Location:

(1)  Net realized gain (loss) on futures contracts, written options contracts and swap contracts

(2)  Net realized foreign exchange gain (loss) on other assets and liabilities

(3)  Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts

(4)  Change in unrealized foreign exchange gain (loss) on other assets and liabilities

(5)  Change in unrealized appreciation (depreciation) on investments (unaffiliated)

(6)  Net realized gain (loss) on investments (unaffiliated)

The following table represents the average monthly balances of derivatives held during the year ended March 31, 2016.

	Average Amount Outstanding During the Period
Portfolio	Futures Contracts(1)		Foreign Exchange Contracts(2)		Purchased Put Options Contracts(1)		Purchased Options Contracts on Currency Contracts(1)		Interest Rate Swap Contracts(2)		Credit Default Swap Contracts(2)		Total Return Swap Contracts(1)		Written Call Option Contracts(1)		Written Put Option Contracts(1)
Multi-Managed Growth Portfolio	$	8,872,227	$	1,106,637	$	—	$	742	$	96,222	$	17,869	$	—	$	—	$	—
Multi-Managed Moderate Growth Portfolio		22,606,038		4,227,329		—		2,190		279,811		57,021		—		—		—
Multi-Managed Income/ Equity Portfolio		23,825,934		5,591,945		—		2,670		321,710		80,184		—		—		—
Multi-Managed Income Portfolio		25,759,973		5,409,738		—		2,670		347,846		75,600		—		—		—
Asset Allocation: Diversified Growth Portfolio		44,045,220		15,457,833		535		—		—		—		13,460,618		198		210
Large Cap Growth Portfolio		1,144,025		—		—		—		—		—		—		—		—
Large Cap Value Portfolio		879,875		1,817,048		—		—		—		—		—		—		—
Mid Cap Growth Portfolio		572,607		—		—		—		—		—		—		—		—
Mid Cap Value Portfolio		572,607		—		—		—		—		—		—		—		—
Small Cap Portfolio		3,453,380		—		—		—		—		—		—		—		—
International Equity Portfolio		9,032,663		15,559		—		—		—		—		—		—		—
Diversified Fixed Income Portfolio		221,445,650		46,987,269		—		24,893		4,773,776		25,386,525		—		—		—
Real Return Portfolio		—		259,206,269		—		—		—		—		—		—		—

(1)  Amounts represent values in US dollars.

(2)  Amounts represent notional amounts in US dollars.

346

The following tables set forth the Portfolios' derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of March 31, 2016. The repurchase agreements held by the Portfolios as of March 31, 2016, are also subject to Master Agreements but are not included in the following tables. See the Portfolio of Investments and the Notes to the Financial Statements for more information about the Portfolios' holdings in repurchase agreements.

	Multi-Managed Growth Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
Bank of America, N.A.	$	837	$	—	$	—	$	837	$	806	$	—	$	—	$	806	$	31		$	—	$	31
Barclays Bank PLC		201		—		—		201		1,150		—		—		1,150		(949	)		—		(949	)
BNP Paribas SA		228		—		—		228		—		—		—		—		228			—		228
Calyon Bank		—		—		—		—		106		—		—		106		(106	)		—		(106	)
Citibank N.A.		6		—		—		6		243		—		—		243		(237	)		—		(237	)
Credit Suisse International		—		—		—		—		1,581		—		—		1,581		(1,581	)		—		(1,581	)
Deutsche Bank AG		—		—		—		—		255		—		—		255		(255	)		—		(255	)
Goldman Sachs International		4,507		1,767		754		7,028		1,419		—		—		1,419		5,609			—		5,609
HSBC Bank USA, N.A.		489		—		—		489		1,559		—		—		1,559		(1,070	)		—		(1,070	)
JPMorgan Chase Bank		6		—		—		6		2,598		—		—		2,598		(2,592	)		—		(2,592	)
Morgan Stanley and Co., Inc.		405		—		—		405		8,366		—		—		8,366		(7,961	)		—		(7,961	)
Royal Bank of Canada		75		—		—		75		—		—		—		—		75			—		75
Standard Chartered Bank		—		—		—		—		1,164		—		—		1,164		(1,164	)		—		(1,164	)
State Street Bank and Trust Co.		159		—		—		159		1,276		—		—		1,276		(1,117	)		—		(1,117	)
Total	$	6,913	$	1,767	$	754	$	9,434	$	20,523	$	—	$	—	$	20,523	$	(11,089	)	$	—	$	(11,089	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

347

	Multi-Managed Moderate Growth Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
Bank of America, N.A.	$	4,003	$	—	$	—	$	4,003	$	11,379	$	—	$	—	$	11,379	$	(7,376	)	$	—	$	(7,376	)
Barclays Bank PLC		519		—		—		519		3,366		—		—		3,366		(2,847	)		—		(2,847	)
BNP Paribas SA		591		—		—		591		—		—		—		—		591			—		591
Calyon Bank		—		—		—		—		259		—		—		259		(259	)		—		(259	)
Citibank N.A.		18		—		—		18		5,798		—		—		5,798		(5,780	)		—		(5,780	)
Commonwealth Bank of Australia Sydney		281		—		—		281		—		—		—		—		281			—		281
Credit Suisse International		—		—		—		—		4,079		—		—		4,079		(4,079	)		—		(4,079	)
Deutsche Bank AG		—		—		—		—		726		—		—		726		(726	)		—		(726	)
Goldman Sachs International		13,066		4,594		1,955		19,615		3,743		—		—		3,743		15,872			—		15,872
HSBC Bank USA, N.A.		1,603		—		—		1,603		5,069		—		—		5,069		(3,466	)		—		(3,466	)
JPMorgan Chase Bank		145		—		—		145		9,591		—		—		9,591		(9,446	)		—		(9,446	)
Morgan Stanley and Co., Inc.		992		—		—		992		21,917		—		—		21,917		(20,925	)		—		(20,925	)
Royal Bank of Canada		149		—		—		149		—		—		—		—		149			—		149
Standard Chartered Bank		—		—		—		—		2,629		—		—		2,629		(2,629	)		—		(2,629	)
State Street Bank and Trust Co.		367		—		—		367		3,342		—		—		3,342		(2,975	)		—		(2,975	)
Total	$	21,734	$	4,594	$	1,955	$	28,283	$	71,898	$	—	$	—	$	71,898	$	(43,615	)	$	—	$	(43,615	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

348

	Multi-Managed Income/Equity Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amounts(3)
Bank of America, N.A.	$	2,952	$	—	$	—	$	2,952	$	16,339	$	—	$	—	$	16,339	$	(13,387	)	$	—	$	(13,387	)
Barclays Bank PLC		625		—		—		625		4,075		—		—		4,075		(3,450	)		—		(3,450	)
BNP Paribas SA		711		—		—		711		—		—		—		—		711			—		711
Calyon Bank		—		—		—		—		318		—		—		318		(318	)		—		(318	)
Citibank N.A.		1,921		—		—		1,921		9,484		—		—		9,484		(7,563	)		—		(7,563	)
Credit Suisse International		—		—		—		—		4,895		—		—		4,895		(4,895	)		—		(4,895	)
Deutsche Bank AG		—		—		—		—		885		—		—		885		(885	)		—		(885	)
Goldman Sachs International		15,768		5,536		2,352		23,656		4,062		—		—		4,062		19,594			—		19,594
HSBC Bank USA, Inc.		1,857		—		—		1,857		5,881		—		—		5,881		(4,024	)		—		(4,024	)
JPMorgan Chase Bank		148		—		—		148		11,097		—		—		11,097		(10,949	)		—		(10,949	)
Morgan Stanley and Co., Inc.		1,194		—		—		1,194		26,134		—		—		26,134		(24,940	)		—		(24,940	)
Royal Bank of Canada		149		—		—		149		—		—		—		—		149			—		149
Standard Chartered Bank		—		—		—		—		2,938		—		—		2,938		(2,938	)		—		(2,938	)
State Street Bank and Trust Company		444		—		—		444		4,013		—		—		4,013		(3,569	)		—		(3,569	)
UBS AG		870		—		—		870		—		—		—		—		870			—		870
Westpac Banking Corp.		—		—		—		—		938		—		—		938		(938	)		—		(938	)
Total	$	26,639	$	2,352	$	5,536	$	34,527	$	91,059	$	—	$	—	$	91,059	$	(56,532	)	$	—	$	(56,532	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

349

	Multi-Managed Income Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amounts(3)
Bank of America, N.A.	$	3,192	$	—	$	—	$	3,192	$	11,804	$	—	$	—	$	11,804	$	(8,612	)	$	—	$	(8,612	)
Barclays Bank PLC		625		—		—		625		4,018		—		—		4,018		(3,393	)		—		(3,393	)
BNP Paribas SA		709		—		—		709		—		—		—		—		709			—		709
Calyon Bank		—		—		—		—		318		—		—		318		(318	)		—		(318	)
Citibank N.A.		1,922		—		—		1,922		5,969		—		—		5,969		(4,047	)		—		(4,047	)
Credit Suisse International		—		—		—		—		4,895		—		—		4,895		(4,895	)		—		(4,895	)
Deutsche Bank AG		—		—		—		—		875		—		—		875		(875	)		—		(875	)
Goldman Sachs International		15,636		5,498		2,348		23,482		4,507		—		—		4,507		18,975			—		18,975
HSBC Bank USA, Inc.		1,947		—		—		1,947		6,154		—		—		6,154		(4,207	)		—		(4,207	)
JPMorgan Chase Bank		109		—		—		109		12,614		—		—		12,614		(12,505	)		—		(12,505	)
Morgan Stanley and Co., Inc.		1,192		—		—		1,192		26,145		—		—		26,145		(24,953	)		—		(24,953	)
Royal Bank of Canada		149		—		—		149		—		—		—		—		149			—		149
Standard Chartered Bank		—		—		—		—		2,924		—		—		2,924		(2,924	)		—		(2,924	)
State Street Bank and Trust Company		440		—		—		440		3,998		—		—		3,998		(3,558	)		—		(3,558	)
UBS AG		310		—		—		310		—		—		—		—		310			—		310
Westpac Banking Corp.		—		—		—		—		938		—		—		938		(938	)		—		(938	)
Total	$	26,231	$	5,498	$	2,348	$	34,077	$	85,159	$	—	$	—	$	85,159	$	(51,082	)	$	—	$	(51,082	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

350

	Asset Allocation: Diversified Growth Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amounts(3)
Bank of America, N.A.	$	4,685	$	—	$	—	$	4,685	$	153,577	$	—	$	—	$	153,577	$	(148,892	)	$	—	$	(148,892	)
Barclays Bank PLC		253		—		—		253		—		—		—		—		253			—		253
Citibank N.A.		—		61,602		—		61,602		7,526		434,393		—		441,919		(380,317	)		—		(380,317	)
Credit Suisse AG		131,214		—		—		131,214		28,478		—		—		28,478		102,736			—		102,736
Goldman Sachs International		—		994		—		994		—		—		—		—		994			—		994
JPMorgan Chase Bank		51,756		—		—		51,756		6,072		—		—		6,072		45,684			—		45,684
State Street Bank and Trust Co.		57,296		—		—		57,296		7,999		—		—		7,999		49,297			—		49,297
UBS AG		74,957		—		—		74,957		1,812		—		—		1,812		73,145			—		73,145
Total	$	320,161	$	62,596	$	—	$	382,757	$	205,464	$	434,393	$	—	$	639,857	$	(257,100	)	$	—	$	(257,100	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

351

	Large Cap Value Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
Morgan Stanley Capital Services, Inc.	$	2,639	$	—	$	—	$	2,639	$	63,790	$	—	$	—	$	63,790	$	(61,151	)	$	—	$	(61,151	)
UBS AG		—		—		—		—		124,457		—		—		124,457		(124,457	)		—		(124,457	)
Total	$	2,639	$	—	$	—	$	2,639	$	188,247	$	—	$	—	$	188,247	$	(185,608	)	$	—	$	(185,608	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

352

	Diversified Fixed Income Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
Bank of America, N.A.	$	34,792	$	—	$	—	$	34,792	$	111,774	$	—	$	—	$	111,774	$	(76,982	)	$	—	$	(76,982	)
Barclays Bank PLC		7,489		—		—		7,489		37,678		—		—		37,678		(30,189	)		—		(30,189	)
BNP Paribas SA		8,550		—		—		8,550		—		—		—		—		8,550			—		8,550
Calyon Bank		70		—		—		70		3,427		—		—		3,427		(3,357	)		—		(3,357	)
Citibank N.A.		22,985		—		—		22,985		94,480		—		—		94,480		(71,495	)		—		(71,495	)
Credit Suisse International		—		—		—		—		59,148		—		—		59,148		(59,148	)		—		(59,148	)
Deutsche Bank AG		—		—		—		—		8,979		—		—		8,979		(8,979	)		—		(8,979	)
Goldman Sachs International		156,759		111,981		45,673		314,413		47,157		—		—		47,157		267,256			—		267,256
HSBC Bank USA, N.A.		15,665		—		—		15,665		50,413		—		—		50,413		(34,748	)		—		(34,748	)
JPMorgan Chase Bank		1,362		—		—		1,362		119,903		—		—		119,903		(118,541	)		—		(118,541	)
Morgan Stanley and Co., Inc.		13,150		—		—		13,150		296,441		—		—		296,441		(283,291	)		—		(283,291	)
Royal Bank of Canada		1,864		—		—		1,864		—		—		—		—		1,864			—		1,864
Standard Chartered Bank		—		—		—		—		37,333		—		—		37,333		(37,333	)		—		(37,333	)
State Street Bank and Trust Co.		4,846		—		—		4,846		48,196		—		—		48,196		(43,350	)		—		(43,350	)
UBS AG		1,123		—		—		1,123		—		—		—		—		1,123			—		1,123
Westpac Banking Corp.		—		—		—		—		4,351		—		—		4,351		(4,351	)		—		(4,351	)
Total	$	268,655	$	111,981	$	45,673	$	426,309	$	919,280	$	—	$	—	$	919,280	$	(492,971	)	$	—	$	(492,971	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

353

	Real Return Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amounts(3)
Bank of Montreal	$	—	$	—	$	—	$	—	$	279,810	$	—	$	—	$	279,810	$	(279,810	)	$	—	$	(279,810	)
Commonwealth Bank of Australia Sydney		—		—		—		—		86,636		—		—		86,636		(86,636	)		—		(86,636	)
HSBC Bank USA, N.A.		—		—		—		—		32,533		—		—		32,533		(32,533	)		—		(32,533	)
JPMorgan Chase Bank		—		—		—		—		1,191,679		—		—		1,191,679		(1,191,679	)		—		(1,191,679	)
Morgan Stanley and Co., Inc.		940		—		—		940		—		—		—		—		940			—		940
National Australia Bank, Ltd.		—		—		—		—		30,441		—		—		30,441		(30,441	)		—		(30,441	)
State Street Bank and Trust Co.		—		—		—		—		1,128,777		—		—		1,128,777		(1,128,777	)		—		(1,128,777	)
UBS AG		—		—		—		—		203,249		—		—		203,249		(203,249	)		—		(203,249	)
Westpac Banking Corp.		—		—		—		—		1,052,044		—		—		1,052,044		(1,052,044	)		—		(1,052,044	)
Total	$	940	$	—	$	—	$	940	$	4,005,169	$	—	$	—	$	4,005,169	$	(4,004,229	)	$	—	$	(4,004,229	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

Inflation-Indexed Bonds: Certain Portfolios may purchase inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and certain other issuers use a structure that reflects inflation in the principal value of the bond. Other issuers pay out any inflation related accruals as part of a semiannual coupon. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rates minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value. Coupon payments received from inflation-indexed bonds are recorded in the Statement of Operations as interest income. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will be recorded in the Statement of Operations as an increase or decrease to interest income, even though principal is not paid until maturity.

Repurchase Agreements: The Portfolios, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission ("SEC"), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations.

In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Trust's custodian takes possession of the collateral pledged for investments in such repurchase agreements ("repo" or collectively "repos"). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Portfolio may be delayed or limited.

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As of March 31, 2016, the following portfolios held an undivided interest in the joint repurchase agreement with Bank of America Securities LLC:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.04	%	$	25,000
Multi-Managed Moderate Growth		0.20			115,000
Multi-Managed Income/Equity		0.27			150,000
Multi-Managed Income		0.27			155,000
Large Cap Value		3.67			2,075,000
Mid Cap Growth		0.87			490,000
Diversified Fixed Income		3.80			2,145,000
Real Return		13.38			7,555,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Bank of America Securities LLC, dated March 31, 2016, bearing interest at a rate of 0.27% per annum, with a principal amount of $56,465,000, a repurchase price of $56,465,423, and a maturity date of April 01, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate	Maturity Date	Principal Amount		Value
U.S. Treasury Bills	Zero Coupon	03/30/2017	$	57,979,800	$	57,626,884

As of March 31, 2016, the following portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Moderate Growth		0.18	%	$	45,000
Multi-Managed Income/Equity		0.24			60,000
Multi-Managed Income		0.26			65,000
Large Cap Value		3.64			910,000
Mid Cap Growth		0.86			215,000
Diversified Fixed Income		3.78			945,000
Real Return		13.34			3,335,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Barclays Capital, Inc, dated March 31, 2016, bearing interest at a rate of 0.30% per annum, with a principal amount of $25,000,000, a repurchase price of $25,000,208, and a maturity date of April 01, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		2.25	%	04/30/2021	$	24,143,000	$	25,483,236

As of March 31, 2016, the following portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.01	%	$	5,000
Multi-Managed Moderate Growth		0.18			90,000
Multi-Managed Income/Equity		0.25			125,000
Multi-Managed Income		0.26			130,000
Large Cap Value		3.64			1,820,000
Mid Cap Growth		0.86			430,000
Diversified Fixed Income		3.78			1,890,000
Real Return		13.35			6,675,000

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As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

BNP Paribas SA, dated March 31, 2016, bearing interest at a rate of 0.30% per annum, with a principal amount of $50,000,000, a repurchase price of $50,000,417, and a maturity date of April 01, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.75	%	05/15/2023	$	50,184,600	$	51,058,596

As of March 31, 2016, the following portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.01	%	$	5,000
Multi-Managed Moderate Growth		0.18			90,000
Multi-Managed Income/Equity		0.25			125,000
Multi-Managed Income		0.26			130,000
Large Cap Value		3.64			1,820,000
Mid Cap Growth		0.86			430,000
Diversified Fixed Income		3.78			1,890,000
Real Return		13.35			6,675,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Deutsche Bank AG, dated March 31, 2016, bearing interest at a rate of 0.30% per annum, with a principal amount of $50,000,000, a repurchase price of $50,000,417, and a maturity date of April 01, 2016. The repurchase agreement collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.25	%	01/31/2020	$	50,623,000	$	50,994,005

As of March 31, 2016, the following portfolios held an undivided interest in the joint repurchase agreement with RBS Securities, Inc.:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.01	%	$	5,000
Multi-Managed Moderate Growth		0.17			60,000
Multi-Managed Income/Equity		0.24			85,000
Multi-Managed Income		0.26			90,000
Large Cap Value		3.64			1,275,000
Mid Cap Growth		0.86			300,000
Diversified Fixed Income		3.77			1,320,000
Real Return		13.36			4,675,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

RBS Securities, Inc., dated March 31, 2016, bearing interest at a rate of 0.28% per annum, with a principal amount of $35,000,000, a repurchase price of $35,000,272, and a maturity date of April 01, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		3.63	%	02/15/2020	$	32,431,000	$	35,701,051

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As of March 31, 2016, the following Portfolios held an undivided interest in the joint repurchase agreement with State Street Bank and Trust Co.:

Portfolio	Percentage Ownership			Principal Amount
Large Cap Growth		0.17	%	$	810,000
Large Cap Value		0.17			771,000
Mid Cap Growth		0.07			337,000
Mid Cap Value		0.06			264,000
Small Cap		0.17			790,000
International Equity		3.12			14,449,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

State Street Bank and Trust Co., dated March 31, 2016, bearing interest at a rate of 0.01% per annum, with a principal amount of $463,848,000, a repurchase price of $463,848,129, and a maturity date of April 01, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.75	%	01/31/2023	$	466,710,000	$	473,127,263

Stripped Mortgage-Backed Securities: Stripped Mortgage-Backed Securities ("SMBS") are multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBS have greater market volatility than other types of U.S. government securities in which a Portfolio invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the "principal only" class) from the mortgage pool, while the other class will receive all or most of the interest (the "interest only" class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Portfolio's yield.

Mortgage-Backed Dollar Rolls: During the year ended March 31, 2016, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth and Diversified Fixed Income Portfolios entered into dollar rolls using "to be announced" ("TBA") mortgage-backed securities ("TBA Rolls"). TBA Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Portfolios' policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. The Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth and Diversified Fixed Income Portfolios had TBA Rolls outstanding at period end, which are included in receivable for investments sold and payable for investments purchased in the Statements of Assets and Liabilities. TBA Roll transactions involve the risk that the market value of the securities held by a Portfolio may decline below the price of the securities that the Portfolio has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a TBA Roll transaction files bankruptcy or becomes insolvent, a Portfolio's use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Portfolio's obligation to repurchase the securities. The return earned by a Portfolio with the proceeds of the TBA Roll transaction may not exceed the transaction costs.

When-Issued Securities and Forward Commitments: Certain Portfolios may purchase or sell when-issued securities, including TBA securities that have been authorized, but not yet issued in the market. In addition, a Portfolio may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Portfolios may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when- issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. For the year ended March 31, 2016, the Multi-Managed Growth, Multi-Managed Moderate Growth,

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Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth and Diversified Fixed Income Portfolios purchased and/or sold when-issued securities.

Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency contracts are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.

The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at the end of the year.

Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the changes in the market prices of portfolio securities sold during the year.

Realized foreign exchange gains and losses on other assets and liabilities and change in unrealized foreign exchange gains and losses on other assets and liabilities located in the Statements of Operations include realized foreign exchange gains and losses from currency gains or losses between the trade and the settlement dates of securities transactions, the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios' books and the U.S. dollar equivalent amounts actually received or paid and changes in the unrealized foreign exchange gains and losses relating to the other assets and liabilities arising as a result of changes in the exchange rates and realized gains and losses on forward foreign currency contracts.

Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders: Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Portfolios amortize all premiums and accrete all discounts on fixed income securities.

Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as the Trust is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations.

Portfolios which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and other countries' tax regulations require that taxes be paid on capital gains realized by a Portfolio.

Net investment income, expenses other than class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for current capital shares activity of the respective class).

Expenses common to all Portfolios, are allocated among the Portfolios based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Portfolio as incurred on a specific identification basis.

For the Seasons Managed Allocation Portfolios, the expenses included in the accompanying financial statements reflect the expenses of the Seasons Managed Allocation Portfolios and do not include indirect expenses borne by each Underlying Portfolio in connection with its investment in the Underlying Portfolio.

Distributions received from Real Estate Investment Trust ("REIT") investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year's allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.

Dividends from net investment income and capital gain distributions, if any, are paid annually. The Portfolios record dividends and distributions to their shareholders on the ex-dividend date.

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For Seasons Managed Allocation Portfolios, distributions from income from the underlying Seasons Portfolios, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from underlying Seasons Portfolios, if any, are recorded to realized gains on the ex-dividend date.

The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.

Each Portfolio is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Portfolio also intends to distribute sufficient net investment income and net capital gains, if any, it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.

The Portfolios recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Portfolio's tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2012-2014 or expected to be taken in each Portfolio's 2015 tax return. The Portfolios are not aware of any tax provisions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Portfolios file U.S. federal and certain state income tax returns. With few exceptions, the Portfolios are no longer subject to U.S. federal and state tax examinations by tax authorities for tax returns ending before 2012.

Note 3.  Investment Advisory and Management Agreement, and Service Agreement (12b-1 Plan): SAAMCo serves as investment adviser for all of the Portfolios of the Trust. The Trust, on behalf of each Portfolio, entered into an Investment Advisory and Management Agreement (the "Agreement") with SAAMCo to handle the Trust's day-to-day affairs, to provide investment advisory services, office space, and other facilities for the management of the affairs of the Trust, and to pay the compensation of certain officers of the Trust who are affiliated persons of SAAMCo. Pursuant to the Agreement entered into between the Adviser and the Trust, each Portfolio pays the Adviser a fee equal to the following percentage of average daily net assets:

Portfolio	Assets	Management Fees
Multi-Managed Growth	0-$250 million		0.89	%
	>$250 million		0.84	%
	>$500 million		0.79	%
Multi-Managed Moderate Growth	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
Multi-Managed Income/Equity	0-$250 million		0.81	%
	>$250 million		0.76	%
	>$500 million		0.71	%
Multi-Managed Income	0-$250 million		0.77	%
	>$250 million		0.72	%
	>$500 million		0.67	%
Asset Allocation: Diversified Growth(1)	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
Stock	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
Large Cap Growth, Large Cap Value	0-$250 million		0.80	%
	>$250 million		0.75	%
	>$500 million		0.70	%
Mid Cap Growth, Mid Cap Value, Small Cap	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%

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Portfolio	Assets	Management Fees
International Equity(2)	0-$250 million		0.95	%
	>$250 million		0.90	%
	>$500 million		0.85	%
Diversified Fixed Income	0-$200 million		0.70	%
	>$200 million		0.65	%
	>$400 million		0.60	%
Real Return	0-$500 million		0.60	%
	>$500 million		0.55	%
SA Columbia Focused Growth(3)	0-$250 million		1.00	%
	>$250 million		0.95	%
	>$500 million		0.90	%
SA Columbia Focused Value(4)	0-$250 million		1.00	%
	>$250 million		0.95	%
	>$500 million		0.90	%
Allocation Growth, Allocation Moderate Growth,
Allocation Moderate, Allocation Balanced(5)	>0		0.10	%

(1)  The Adviser voluntarily agreed, until further notice, to waive 0.10% of advisory fees for the Asset Allocation: Diversified Growth Portfolio. For the year ended March 31, 2016, the amount of advisory fees waived was $140,205.

(2)  The Adviser contractually agreed to waive 0.04% of advisory fees for the International Equity Portfolio. For the year ended March 31, 2016, the amount of advisory fees waived was $290,464.

(3)  Effective July 29, 2015, the Adviser contractually agreed to waive its advisory fees for the SA Columbia Focused Growth Portfolio so that the advisory fee payable to SAAMCo equals 0.69% of average daily net assets. For the year ended March 31, 2016, the amount of advisory fees waived was $403,774.

(4)  Effective July 29, 2015, the Adviser contractually agreed to waive its advisory fee for the SA Columbia Focused Value Portfolio so that the advisory fee payable to SAAMCo equals 0.67% of average daily net assets. Prior to July 29, 2015, the Adviser voluntarily waived 0.05% of advisory fees. For the period ended March 31, 2016, the amount of advisory fees waived was $737,876.

(5)  Effective July 29, 2015, the Adviser contractually agreed to waive its advisory fee for the Allocation Growth, Allocation Moderate Growth, Allocation Moderate and Allocation Balanced Portfolios so that the advisory fee payable to SAAMCo equals 0.09% of average daily net assets. For the period ended March 31, 2016, the amount of advisory fees waived was $6,483, $36,424, $22,595 and $17,834, respectively.

The Agreement authorizes SAAMCo to retain one or more subadvisers to make the investment decisions for the Portfolios, and to place the purchase and sale orders for portfolio transactions. The organizations described below act as Subadvisers (with the exception of SAAMCo, which acts as Adviser) to the Trust and certain of its Portfolios pursuant to Subadvisory Agreements with SAAMCo. Each of the Subadvisers is independent of SAAMCo and discharges its responsibilities subject to the policies of the Trust and the oversight and supervision of SAAMCo, which pays the Subadvisers' fees. All subadvisory fees are payable by the Adviser to the respective Subadviser and do not increase Portfolio expenses. Portfolio management is allocated among the following Managers:

Portfolio	Subadviser/Adviser
Multi-Managed Growth	Janus J.P. Morgan WMC
Multi-Managed Moderate Growth	Janus J.P. Morgan WMC
Multi-Managed Income/Equity	Janus WMC
Multi-Managed Income	Janus WMC
Asset Allocation: Diversified Growth	Putnam Investment Management, LLC
Stock	T. Rowe Price Associates, Inc. ("T. Rowe Price")
Large Cap Growth	Goldman Sachs Asset Management, L.P. Janus SAAMCo

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Portfolio	Subadviser/Adviser
Large Cap Value	SAAMCo American Century Investment Management, Inc.(1) WMC
Mid Cap Growth	SAAMCo T. Rowe Price WMC
Mid Cap Value	Goldman Sachs Asset Management, L.P. Massachusetts Financial Services Company SAAMCo
Small Cap	PNC Capital Advisors, LLC(2) J.P. Morgan SAAMCo
International Equity	Janus T. Rowe Price SAAMCo
Diversified Fixed Income	PineBridge WMC
Real Return	WMC
SA Columbia Focused Growth(3)	Columbia Management Investment Advisers LLC ("Columbia")
SA Columbia Focused Value(4)	Columbia
Allocation Growth(5)	SAAMCo
Allocation Moderate Growth(5)	SAAMCo
Allocation Moderate(5)	SAAMCo
Allocation Balanced(5)	SAAMCo

(1)  Effective October 26, 2015, American Century Investment Management, Inc. replaced T. Rowe Price as a subadviser to a portion of the Large Cap Value Portfolio.

(2)  Effective December 21, 2015, ClearBridge Investment, LLC ("ClearBridge") ceased to be subadvisor for Small Cap Portfolio. The assets were reallocated to PNC Capital Advisors, LLC.

(3)  Effective July 29, 2015, Janus and Marsico ceased to be subadvisors for the SA Columbia Focused Growth Portfolio. The assets were reallocated to Columbia.

(4)  Effective July 29, 2015, Northern Trust Investments, N.A. and J.P. Morgan ceased to be subadvisors for the SA Columbia Focused Value Portfolio. The assets were reallocated to Columbia.

(5)  Effective July 29, 2015, SAAMCo began to directly manage the assets of the Allocation Growth, Allocation Moderate Growth, Allocation Moderate, and Allocation Balanced Portfolios, and Ibbotson Associates, Inc. ceased to subadvise the Portfolios.

The Adviser has voluntarily agreed to waive fees or reimburse expenses, if necessary, to keep annual operating expenses at or below the following percentages of each of the Portfolios' average net assets. Annual operating expenses shall not include extraordinary expenses (i.e., expenses that are unusual in nature and/or infrequent in occurrence, such as litigation), or acquired fund fees and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of the Portfolio's business.

Portfolio	Class 1			Class 2			Class 3
SA Columbia Focused Growth		1.30	%		1.45	%		1.55	%
SA Columbia Focused Value		1.30			1.45			1.55

The Adviser may voluntarily waive additional fees or reimburse expenses to increase the investment return to a Portfolio's investors. The Adviser may terminate all such waivers and/or reimbursements at any time. Any voluntary waivers or reimbursements, with the exception of advisory fee waivers, made by the Adviser are subject to recoupment from that Portfolio within two years after the occurrence of the waivers and/or reimbursements provided that the Portfolio is able to effect such payments to the Adviser and remain in compliance with the expense limitations in effect at the time the waivers and/or reimbursements were made. As of March 31, 2016, none of the Portfolios listed above voluntarily reimbursed expenses and none of the Portfolios had balances subject to recoupment.

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The Trust has entered into a Master Transfer Agency and Service Agreement with VALIC Retirement Services Company ("VRSCO"), a wholly-owned subsidiary of VALIC, which is an affiliate of the Adviser. Under the agreement, VRSCO provides services, which include the issuance and redemption of shares, payment of dividends between the Trust and their "institutional" shareholders and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. The Trust, Anchor Series Trust and SunAmerica Series Trust ("SAST") pay VRSCO on an annual basis, a fee in the aggregate amount of $150,000 for Transfer Agency Serivces provided, pursuant to the agreement, which is allocated based on shareholder accounts. For the year ended March 31, 2016, transfer agent fees were paid (see Statement of Operations) based on the aforementioned agreement.

Class 2 and Class 3 shares of each Portfolio, excluding the Seasons Managed Allocation Portfolios*, are subject to Rule 12b-1 plans that provides for service fees payable at the annual rate of 0.15% and 0.25%, respectively, of the average daily net assets of Class 2 and Class 3 shares. The service fees are used to compensate the Life Companies for costs associated with the servicing of Class 2 and Class 3 shares, including the cost of reimbursing the Life Companies for expenditures made to financial intermediaries for providing services to contract holders who are the indirect beneficial owners of the Portfolios' Class 2 and Class 3 shares. For the year ended March 31, 2016, service fees were paid (see Statement of Operations) based on the aforementioned rates.

*  See Note 14

Note 4.  Federal Income Taxes: The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statement of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, post October losses, investments in passive foreign investment companies, investments in real estate investment trusts, investments in regulated investment companies and investments in partnerships, treatment of defaulted securities and derivative transactions.

	Distributable Earnings								Tax Distributions
	For the year ended March 31, 2016
Portfolio	Ordinary Income		Long-term Gains/ Capital and Other Losses			Unrealized Appreciation (Depreciation)*			Ordinary Income		Long-term Capital Gains
Multi-Managed Growth	$	207,179	$	3,536,614		$	5,153,178		$	2,021,499	$	7,303,632
Multi-Managed Moderate Growth		857,823		6,777,122			5,531,764			4,361,318		11,202,605
Multi-Managed Income/Equity		915,494		2,728,939			2,220,944			3,391,481		5,750,159
Multi-Managed Income		1,104,801		948,933			1,138,211			2,832,787		2,522,646
Asset Allocation: Diversified Growth		1,025,491		10,475,076			3,930,168			5,570,897		13,131,335
Stock		—		42,728,794			77,124,681			—		34,289,338
Large Cap Growth		2,057,560		15,155,845			78,905,660			10,989,284		37,564,488
Large Cap Value		16,754,547		32,660,324			29,057,543			24,267,991		38,703,525
Mid Cap Growth		—		10,247,877			24,533,030			641,489		13,461,364
Mid Cap Value		3,155,064		5,604,797			12,209,641			13,819,000		42,403,192
Small Cap		609,823		4,689,071			15,877,205			2,731,766		16,965,986
International Equity		13,033,332		(58,979,567	)		(43,888,422	)		8,845,356		—
Diversified Fixed Income		20,803,038		2,129,415			23,740,998			24,771,192		6,543,524
Real Return		—		(3,494,908	)		(11,406,294	)		23,607,543		—
SA Columbia Focused Growth		557,949		18,385,031			(18,085,938	)		188,685		19,329,499
SA Columbia Focused Value		4,586,558		33,617,554			(12,746,418	)		3,127,987		3,014,073
Allocation Growth		1,524,052		2,089,038			(3,269,571	)		1,393,950		—
Allocation Moderate Growth		9,027,944		68,945,877			886,575			7,563,752		43,890,397
Allocation Moderate		5,709,081		33,431,087			(3,300,204	)		4,415,304		23,414,382
Allocation Balanced		4,602,451		22,827,279			2,085,892			3,490,952		17,983,880

*  Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.

362

	Tax Distributions
	For the year ended March 31, 2015
Portfolio	Ordinary Income		Long-term Capital Gains
Multi-Managed Growth	$	2,200,087	$	8,318,085
Multi-Managed Moderate Growth		4,010,296		11,833,632
Multi-Managed Income/Equity		2,215,266		6,831,847
Multi-Managed Income		1,699,174		3,021,086
Asset Allocation: Diversified Growth		2,466,545		1,087,121
Stock		2,826,439		19,464,553
Large Cap Growth		12,217,940		45,368,784
Large Cap Value		9,179,408		1,092,825
Mid Cap Growth		4,404,870		11,924,052
Mid Cap Value		2,267,834		26,371,431
Small Cap		282,558		9,622,230
International Equity		9,608,528		—
Diversified Fixed Income		16,612,708		—
Real Return		—		—
SA Columbia Focused Growth		8,741,723		23,410,320
SA Columbia Focused Value		1,703,245		—
Allocation Growth		723,183		—
Allocation Moderate Growth		6,087,464		—
Allocation Moderate		4,082,422		8,872,181
Allocation Balanced		3,569,551		18,601,329

As of March 31, 2016, for Federal income tax purposes, the Portfolios indicated below have capital loss carryforwards, which expire in the year indicated, which are available to offset future capital gains, if any:

	Capital Loss Carryforward†						Unlimited†
Portfolio	2017		2018		2019		ST		LT
Multi-Managed Growth	$	—	$	—	$	—	$	—	$	—
Multi-Managed Moderate Growth		—		—		—		—		—
Multi-Managed Income/Equity		—		—		—		—		—
Multi-Managed Income		—		—		—		—		—
Asset Allocation: Diversified Growth		—		—		—		—		—
Stock		—		—		—		—		—
Large Cap Growth		—		—		—		—		—
Large Cap Value		—		—		—		—		—
Mid Cap Growth		—		—		—		—		—
Mid Cap Value		—		—		—		—		—
Small Cap		—		—		—		—		—
International Equity		—		55,762,054		—		1,257,754		1,959,759
Diversified Fixed Income		—		—		—		—		—
Real Return		—		—		—		3,285,528		209,380
SA Columbia Focused Growth		—		—		—		—		—
SA Columbia Focused Value		—		—		—		—		—
Allocation Growth		—		—		—		—		—
Allocation Moderate Growth		—		—		—		—		—
Allocation Moderate		—		—		—		—		—
Allocation Balanced		—		—		—		—		—

†  On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the "Act") was enacted which changes various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective taxable years beginning after the date of enactment. Under the Act, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to

363

expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law.

The Portfolios indicated below utilized capital loss carryforwards which offset net taxable gains in the year ended March 31, 2016.

Portfolio	Capital Loss Carryforward Utilized
Multi-Managed Growth	$	—
Multi-Managed Moderate Growth		—
Multi-Managed Income/Equity		—
Multi-Managed Income		—
Asset Allocation: Diversified Growth		—
Stock		—
Large Cap Growth		—
Large Cap Value		—
Mid Cap Growth		—
Mid Cap Value		—
Small Cap		—
International Equity		—
Diversified Fixed Income		—
Real Return		—
SA Columbia Focused Growth		—
SA Columbia Focused Value		—
Allocation Growth		10,616,469
Allocation Moderate Growth		—
Allocation Moderate		—
Allocation Balanced		—

Under the current law, capital losses realized after October 31 and late year ordinary losses may be deferred and treated as occurring the first day of the following year. For the fiscal year ended March 31, 2016, the Portfolios elected to defer late year ordinary losses and post October capital losses as follows:

Portfolio	Deferred Late Year Ordinary Losses		Deferred Post-October Short-Term Capital Loss		Deferred Post-October Long-Term Capital Loss
Multi-Managed Growth	$	—	$	—	$	—
Multi-Managed Moderate Growth		—		—		—
Multi-Managed Income/Equity		—		—		—
Multi-Managed Income		—		—		—
Asset Allocation: Diversified Growth		—		—		—
Stock		181,075		—		—
Large Cap Growth		—		—		—
Large Cap Value		—		—		—
Mid Cap Growth		20,433		—		—
Mid Cap Value		—		—		—
Small Cap		—		—		—
International Equity		—		2,567,518		2,820,824
Diversified Fixed Income		—		—		—
Real Return		3,581,014		—		—
SA Columbia Focused Growth		—		—		—
SA Columbia Focused Value		—		—		—
Allocation Growth		—		—		—
Allocation Moderate Growth		—		—		—
Allocation Moderate		—		—		—
Allocation Balanced		—		—		—

364

For the period ended March 31, 2016, the reclassifications arising from book/tax differences resulted in increases (decreases) that were primarily due to net investment losses, treatment of foreign currency, derivative transactions, investments in real estate investment trusts, distributions from underlying funds, principal paydown adjustments, investments in partnerships, investments in regulated investment companies and investments in passive foreign investment companies, to the components of net assets as follows:

Portfolio	Accumulated Undistributed Net Investment Income (Loss)			Accumulated Undistributed Net Realized Gain (Loss)			Capital Paid-in
Multi-Managed Growth	$	(42,241	)	$	38,176		$	4,065
Multi-Managed Moderate Growth		(107,641	)		107,813			(172	)
Multi-Managed Income/Equity		(289,379	)		290,635			(1,256	)
Multi-Managed Income		(298,045	)		298,152			(107	)
Asset Allocation: Diversified Growth		(388,583	)		388,583			—
Stock		1,069,513			5,836			(1,075,349	)
Large Cap Growth		391,989			(389,299	)		(2,690	)
Large Cap Value		(255,236	)		255,236			—
Mid Cap Growth		332,103			3,025			(335,128	)
Mid Cap Value		4,045			(4,045	)		—
Small Cap		(110	)		110			—
International Equity		170,606			(170,606	)		—
Diversified Fixed Income		(8,078,045	)		8,078,045			—
Real Return		(284,895	)		3,837,107			(3,552,212	)
SA Columbia Focused Growth		940,275			(940,275	)		—
SA Columbia Focused Value		81			(81	)		—
Allocation Growth		797,538			(797,538	)		—
Allocation Moderate Growth		3,828,286			(3,828,286	)		—
Allocation Moderate		2,132,751			(2,132,751	)		—
Allocation Balanced		1,354,910			(1,354,910	)		—

The amounts of aggregate unrealized gain (loss) and the cost of investment securities for Federal tax purposes, including short-term securities and repurchase agreements, were as follows:

Portfolio	Aggregate Unrealized Gain		Aggregate Unrealized Loss			Net Unrealized Gain/(Loss)			Cost of Investments
Multi-Managed Growth	$	7,631,791	$	(2,476,578	)	$	5,155,213		$	57,157,137
Multi-Managed Moderate Growth		9,408,107		(3,870,481	)		5,537,626			102,323,619
Multi-Managed Income/Equity		4,161,415		(1,933,278	)		2,228,137			81,835,018
Multi-Managed Income		2,556,667		(1,410,797	)		1,145,870			71,718,814
Asset Allocation: Diversified Growth		11,837,443		(7,908,096	)		3,929,347			127,181,291
Stock		88,375,151		(11,249,861	)		77,125,290			401,259,753
Large Cap Growth		90,765,280		(11,859,621	)		78,905,659			401,840,003
Large Cap Value		84,113,768		(55,055,331	)		29,058,437			931,934,948
Mid Cap Growth		39,486,548		(14,953,597	)		24,532,951			196,832,154
Mid Cap Value		32,827,403		(20,617,827	)		12,209,576			303,593,484
Small Cap		36,722,099		(20,844,894	)		15,877,205			297,426,620
International Equity		43,028,846		(86,989,663	)		(43,960,817	)		796,187,659
Diversified Fixed Income		35,002,703		(11,063,329	)		23,939,374			1,364,778,856
Real Return		5,334,896		(16,760,159	)		(11,425,263	)		616,079,719
SA Columbia Focused Growth		9,390,410		(27,474,166	)		(18,083,756	)		229,077,450
SA Columbia Focused Value		21,041,233		(33,787,651	)		(12,746,418	)		347,276,797
Allocation Growth		3,599,495		(6,869,066	)		(3,269,571	)		95,563,181
Allocation Moderate Growth		26,352,032		(25,465,457	)		886,575			522,565,945
Allocation Moderate		11,927,922		(15,228,126	)		(3,300,204	)		326,568,892
Allocation Balanced		8,278,272		(6,192,380	)		2,085,892			254,593,015

365

Note 5.  Expense Reductions: Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of the Portfolios have been reduced. For the year ended March 31, 2016, the amount of expense reductions received by each Portfolio used to offset non-affiliated expenses are reflected as Fees paid indirectly in the Statement of Operations.

Note 6.  Purchases and Sales of Investment Securities: The cost of purchases and proceeds from sales and maturities of long-term investments during the year ended March 31, 2016 were as follows:

Portfolio	Purchases of portfolio securities (excluding U.S. government securities)		Sales of portfolio securities (excluding U.S. government securities)		Purchases of U.S. government securities		Sales of U.S. government securities
Multi-Managed Growth	$	31,027,819	$	36,879,078	$	3,312,719	$	4,541,267
Multi-Managed Moderate Growth		53,369,629		79,198,335		5,927,938		7,312,229
Multi-Managed Income/Equity		36,577,933		52,019,659		6,705,696		10,348,325
Multi-Managed Income		29,232,175		39,857,795		8,209,571		10,809,756
Asset Allocation: Diversified Growth		110,045,235		121,081,371		16,753,288		17,064,009
Stock		206,346,856		206,593,252		—		—
Large Cap Growth		241,899,627		208,718,421		—		—
Large Cap Value		635,418,509		584,804,300		—		—
Mid Cap Growth		123,384,782		102,409,200		—		—
Mid Cap Value		223,641,958		219,364,465		—		—
Small Cap		254,348,306		169,654,271		—		—
International Equity		321,306,524		201,708,048		—		—
Diversified Fixed Income		384,266,733		310,844,122		259,808,667		139,535,313
Real Return		42,979,045		53,401,812		144,993,611		153,828,742
SA Columbia Focused Growth Portfolio		305,823,850		254,510,133		—		—
SA Columbia Focused Value Portfolio		351,284,462		329,693,620		—		—
Allocation Growth		27,894,212		41,477,134		—		—
Allocation Moderate Growth		124,651,407		184,860,853		—		—
Allocation Moderate		84,249,138		123,869,227		—		—
Allocation Balanced		75,580,669		112,279,269		—		—

Note 7.  Capital Share Transactions: Transactions in capital shares of each class of each Portfolio were as follows:

	Multi-Managed Growth Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		27,257		$	503,524			8,980		$	180,440			29,541		$	526,656			50,951		$	1,022,027
Reinvested dividends		113,064			1,793,860			103,783			1,879,602			200,275			3,176,259			185,540			3,358,538
Shares redeemed		(126,032	)		(2,157,173	)		(108,804	)		(2,175,980	)		(168,300	)		(2,926,075	)		(235,457	)		(4,720,292	)
Net increase (decrease)		14,289		$	140,211			3,959		$	(115,938	)		61,516		$	776,840			1,034		$	(339,727	)
	Multi-Managed Growth Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		159,207		$	2,864,770			71,130		$	1,408,402
Reinvested dividends		275,210			4,355,012			292,395			5,280,032
Shares redeemed		(552,220	)		(9,963,703	)		(403,974	)		(8,024,763	)
Net increase (decrease)		(117,803	)	$	(2,743,921	)		(40,449	)	$	(1,336,329	)

366

	Multi-Managed Moderate Growth Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		22,161		$	304,354			14,640		$	224,848			112,861		$	1,530,763			103,266		$	1,569,446
Reinvested dividends		140,524			1,734,180			107,575			1,533,691			591,168			7,287,325			413,624			5,890,183
Shares redeemed		(194,989	)		(2,738,686	)		(129,322	)		(1,976,886	)		(598,649	)		(8,225,278	)		(595,162	)		(9,143,481	)
Net increase (decrease)		(32,304	)	$	(700,152	)		(7,107	)	$	(218,347	)		105,380		$	592,810			(78,272	)	$	(1,683,852	)
	Multi-Managed Moderate Growth Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		121,302		$	1,692,238			124,635		$	1,901,634
Reinvested dividends		531,730			6,542,418			593,223			8,420,054
Shares redeemed		(2,158,891	)		(31,203,474	)		(1,061,682	)		(16,072,667	)
Net increase (decrease)		(1,505,859	)	$	(22,968,818	)		(343,824	)	$	(5,750,979	)
	Multi-Managed Income/Equity Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		71,822		$	850,936			23,878		$	302,035			230,349		$	2,652,739			222,347		$	2,879,554
Reinvested dividends		115,396			1,252,635			85,469			1,041,768			451,012			4,890,173			321,428			3,912,998
Shares redeemed		(247,331	)		(2,988,570	)		(114,922	)		(1,486,648	)		(766,684	)		(9,029,595	)		(616,078	)		(7,919,161	)
Net increase (decrease)		(60,113	)	$	(884,999	)		(5,575	)	$	(142,845	)		(85,323	)	$	(1,486,683	)		(72,303	)	$	(1,126,609	)
	Multi-Managed Income/Equity Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		147,267		$	1,744,343			125,569		$	1,603,482
Reinvested dividends		276,889			2,998,832			337,203			4,092,347
Shares redeemed		(1,977,063	)		(24,129,864	)		(680,329	)		(8,681,048	)
Net increase (decrease)		(1,552,907	)	$	(19,386,689	)		(217,557	)	$	(2,985,219	)
	Multi-Managed Income Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		42,604		$	485,044			28,392		$	343,474			223,980		$	2,570,463			211,432		$	2,571,369
Reinvested dividends		60,661			655,742			49,424			583,729			266,142			2,873,585			176,110			2,077,223
Shares redeemed		(306,756	)		(3,610,191	)		(131,239	)		(1,611,571	)		(678,403	)		(7,821,587	)		(497,543	)		(6,089,517	)
Net increase (decrease)		(203,491	)	$	(2,469,405	)		(53,423	)	$	(684,368	)		(188,281	)	$	(2,377,539	)		(110,001	)	$	(1,440,925	)

367

	Multi-Managed Income Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		285,923		$	3,294,739			217,534		$	2,640,333
Reinvested dividends		169,345			1,826,106			175,095			2,059,308
Shares redeemed		(1,579,800	)		(18,626,090	)		(595,191	)		(7,254,596	)
Net increase (decrease)		(1,124,532	)	$	(13,505,245	)		(202,562	)	$	(2,554,955	)
	Asset Allocation: Diversified Growth Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		89,981		$	1,180,420			21,587		$	293,977			315,354		$	4,035,338			207,919		$	2,798,827
Reinvested dividends		224,569			2,576,396			41,169			543,318			760,132			8,723,093			124,352			1,641,165
Shares redeemed		(371,269	)		(4,878,561	)		(257,458	)		(3,473,848	)		(882,127	)		(11,359,543	)		(981,832	)		(13,193,004	)
Net increase (decrease)		(56,719	)	$	(1,121,745	)		(194,702	)	$	(2,636,553	)		193,359		$	1,398,888			(649,561	)	$	(8,753,012	)
	Asset Allocation: Diversified Growth Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		376,802		$	4,923,428			217,505		$	2,922,293
Reinvested dividends		646,023			7,402,743			103,897			1,369,183
Shares redeemed		(966,844	)		(12,609,127	)		(967,535	)		(12,957,183	)
Net increase (decrease)		55,981		$	(282,956	)		(646,133	)	$	(8,665,707	)
	Stock Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,800,949		$	45,786,970			4,144,974		$	99,295,575			152,596		$	3,488,885			73,405		$	1,727,489
Reinvested dividends		1,141,023			27,443,745			718,011			16,764,477			152,647			3,603,791			125,388			2,881,721
Shares redeemed		(1,371,021	)		(35,765,242	)		(147,147	)		(3,551,583	)		(451,345	)		(11,048,022	)		(540,506	)		(12,789,877	)
Net increase (decrease)		1,570,951		$	37,465,473			4,715,838		$	112,508,469			(146,102	)	$	(3,955,346	)		(341,713	)	$	(8,180,667	)
	Stock Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		191,940		$	4,509,975			73,233		$	1,702,995
Reinvested dividends		138,864			3,241,802			116,169			2,644,794
Shares redeemed		(506,308	)		(12,351,174	)		(535,322	)		(12,534,818	)
Net increase (decrease)		(175,504	)	$	(4,599,397	)		(345,920	)	$	(8,187,029	)

368

	Large Cap Growth Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		5,277,473		$	73,551,908			3,940,045		$	55,740,209			70,598		$	924,653			149,093		$	2,059,997
Reinvested dividends		1,887,617			23,577,647			1,996,294			25,935,853			295,896			3,631,466			439,265			5,616,191
Shares redeemed		(3,221,995	)		(45,176,077	)		(1,787,690	)		(24,704,123	)		(517,556	)		(6,748,395	)		(624,994	)		(8,633,272	)
Net increase (decrease)		3,943,095		$	51,953,478			4,148,649		$	56,971,939			(151,062	)	$	(2,192,276	)		(36,636	)	$	(957,084	)
	Large Cap Growth Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		3,414,199		$	46,091,488			535,196		$	7,155,200
Reinvested dividends		1,754,760			21,344,659			2,051,981			26,034,680
Shares redeemed		(3,237,628	)		(40,521,407	)		(3,831,400	)		(53,934,036	)
Net increase (decrease)		1,931,331		$	26,914,740			(1,244,223	)	$	(20,744,156	)
	Large Cap Value Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,724,485		$	127,451,345			14,707,296		$	246,803,617			24,206		$	372,610			98,291		$	1,639,913
Reinvested dividends		3,370,248			50,348,737			439,370			7,291,208			131,813			1,968,457			24,125			400,022
Shares redeemed		(394,525	)		(5,910,539	)		(25,415	)		(426,930	)		(408,267	)		(6,654,043	)		(408,549	)		(6,859,811	)
Net increase (decrease)		10,700,208		$	171,889,543			15,121,251		$	253,667,895			(252,248	)	$	(4,312,976	)		(286,133	)	$	(4,819,876	)
	Large Cap Value Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		1,269,978		$	17,921,615			692,445		$	11,732,589
Reinvested dividends		713,633			10,654,322			155,876			2,581,003
Shares redeemed		(7,782,838	)		(127,697,906	)		(2,336,649	)		(38,950,669	)
Net increase (decrease)		(5,799,227	)	$	(99,121,969	)		(1,488,328	)	$	(24,637,077	)
	Mid Cap Growth Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,148,126		$	19,644,503			2,497,628		$	43,322,487			21,906		$	359,412			29,428		$	499,766
Reinvested dividends		523,751			8,223,992			575,089			9,414,815			97,964			1,485,218			141,724			2,248,411
Shares redeemed		(761,988	)		(13,446,053	)		(41,504	)		(720,678	)		(268,901	)		(4,366,846	)		(388,925	)		(6,496,273	)
Net increase (decrease)		909,889		$	14,422,442			3,031,213		$	52,016,624			(149,031	)	$	(2,522,216	)		(217,773	)	$	(3,748,096	)

369

	Mid Cap Growth Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		1,708,959		$	29,143,556			637,898		$	10,503,311
Reinvested dividends		295,610			4,393,643			299,313			4,665,696
Shares redeemed		(982,031	)		(15,094,288	)		(834,030	)		(13,758,033	)
Net increase (decrease)		1,022,538		$	18,442,911			103,181		$	1,410,974
	Mid Cap Value Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		5,134,081		$	101,900,589			3,421,179		$	70,483,247			27,210		$	472,250			49,476		$	1,008,975
Reinvested dividends		2,686,104			40,936,190			779,538			14,972,682			316,915			4,819,886			157,880			3,026,774
Shares redeemed		(2,521,732	)		(46,472,269	)		(2,859,654	)		(60,632,318	)		(310,241	)		(5,665,997	)		(335,604	)		(6,895,127	)
Net increase (decrease)		5,298,453		$	96,364,510			1,341,063		$	24,823,611			33,884		$	(373,861	)		(128,248	)	$	(2,859,378	)
	Mid Cap Value Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		303,355		$	4,554,584			214,139		$	4,424,016
Reinvested dividends		689,331			10,466,116			555,835			10,639,809
Shares redeemed		(3,361,398	)		(62,348,755	)		(1,803,554	)		(36,758,229	)
Net increase (decrease)		(2,368,712	)	$	(47,328,055	)		(1,033,580	)	$	(21,694,404	)
	Small Cap Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		10,284,839		$	128,196,216			3,171,401		$	43,840,980			47,465		$	583,969			63,231		$	851,827
Reinvested dividends		1,183,807			14,266,738			404,249			5,341,454			123,700			1,457,266			75,030			970,381
Shares redeemed		(1,370,610	)		(18,410,477	)		(17,066	)		(233,944	)		(321,768	)		(4,143,845	)		(424,338	)		(5,734,674	)
Net increase (decrease)		10,098,036		$	124,052,477			3,558,584		$	48,948,490			(150,603	)	$	(2,102,610	)		(286,077	)	$	(3,912,466	)
	Small Cap Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		532,898		$	6,275,721			212,957		$	2,826,443
Reinvested dividends		341,991			3,973,748			281,640			3,592,953
Shares redeemed		(2,611,278	)		(34,387,490	)		(1,392,285	)		(18,565,384	)
Net increase (decrease)		(1,736,389	)	$	(24,138,021	)		(897,688	)	$	(12,145,988	)

370

	International Equity Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		18,200,311		$	150,914,235			17,393,870		$	154,914,285			113,059		$	954,716			377,495		$	3,284,884
Reinvested dividends		768,075			6,074,171			693,739			5,776,920			33,529			265,717			46,282			386,060
Shares redeemed		(2,896,787	)		(25,707,616	)		(31,282	)		(274,996	)		(577,790	)		(4,824,180	)		(528,527	)		(4,690,797	)
Net increase (decrease)		16,071,599		$	131,280,790			18,056,327		$	160,416,209			(431,202	)	$	(3,603,747	)		(104,750	)	$	(1,019,853	)
	International Equity Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		4,315,076		$	35,854,121			4,500,464		$	38,760,997
Reinvested dividends		317,135			2,505,468			414,285			3,445,548
Shares redeemed		(5,289,941	)		(44,289,637	)		(4,237,238	)		(37,814,095	)
Net increase (decrease)		(657,730	)	$	(5,930,048	)		677,511		$	4,392,450
	Diversified Fixed Income Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		10,836,140		$	127,561,044			17,964,756		$	212,046,997			383,721		$	4,424,604			341,964		$	4,025,795
Reinvested dividends		1,697,161			19,459,803			846,906			9,947,864			71,459			818,762			53,267			625,050
Shares redeemed		(2,080,306	)		(24,042,939	)		(38,343	)		(451,579	)		(682,980	)		(7,984,351	)		(754,495	)		(8,885,475	)
Net increase (decrease)		10,452,995		$	122,977,908			18,773,319		$	221,543,282			(227,800	)	$	(2,740,985	)		(359,264	)	$	(4,234,630	)
	Diversified Fixed Income Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		9,156,324		$	106,551,440			1,068,545		$	12,515,498
Reinvested dividends		968,057			11,036,151			517,030			6,039,794
Shares redeemed		(6,899,876	)		(79,729,103	)		(7,813,052	)		(91,733,897	)
Net increase (decrease)		3,224,505		$	37,858,488			(6,227,477	)	$	(73,178,605	)
	Real Return Portfolio
	Class 1												Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,752,756		$	17,195,684			6,804,049		$	67,331,060			4,459,950		$	42,734,697			7,596,940		$	74,800,257
Reinvested dividends		696,974			6,524,327			—			—			1,833,477			17,083,216			—			—
Shares redeemed		(5,130,324	)		(50,651,908	)		(5,108,234	)		(50,000,000	)		(10,494,299	)		(101,464,512	)		(5,100,444	)		(50,263,341	)
Net increase (decrease)		(2,680,594	)	$	(26,931,897	)		1,695,815		$	17,331,060			(4,200,872	)	$	(41,646,599	)		2,496,496		$	24,536,916

371

	SA Columbia Focused Growth Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		5,877,695		$	55,110,827			2,074,244		$	24,517,854			55,312		$	502,132			36,179		$	408,167
Reinvested dividends		1,307,260			12,385,264			1,684,756			17,354,199			318,040			2,909,028			650,661			6,502,484
Shares redeemed		(103,638	)		(868,080	)		(24,660	)		(301,543	)		(582,304	)		(5,744,689	)		(633,961	)		(7,387,400	)
Net increase (decrease)		7,081,317		$	66,628,011			3,734,340		$	41,570,510			(208,952	)	$	(2,333,529	)		52,879		$	(476,749	)
	SA Columbia Focused Growth Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		906,245		$	9,407,494			152,686		$	1,759,679
Reinvested dividends		471,393			4,223,892			844,740			8,295,360
Shares redeemed		(965,336	)		(9,327,496	)		(1,916,164	)		(22,337,182	)
Net increase (decrease)		412,302		$	4,303,890			(918,738	)	$	(12,282,143	)
	SA Columbia Focused Value Portfolio
	Class 1												Class 2
	For the year ended March 31, 2016						For the year ended March 31, 2015						For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,253,894		$	39,282,826			5,177,294		$	88,734,755			25,241		$	416,863			42,203		$	720,556
Reinvested dividends		324,908			5,390,918			87,158			1,508,667			15,507			257,182			4,567			78,996
Shares redeemed		(916,489	)		(16,504,009	)		(722,041	)		(12,000,000	)		(179,745	)		(3,082,466	)		(237,597	)		(4,053,080	)
Net increase (decrease)		1,662,313		$	28,169,735			4,542,411		$	78,243,422			(138,997	)	$	(2,408,421	)		(190,827	)	$	(3,253,528	)
	SA Columbia Focused Value Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		270,558		$	4,412,720			61,832		$	1,055,493
Reinvested dividends		29,837			493,960			6,696			115,582
Shares redeemed		(357,062	)		(6,110,330	)		(595,387	)		(10,209,750	)
Net increase (decrease)		(56,667	)	$	(1,203,650	)		(526,859	)	$	(9,038,675	)
	Allocation Growth Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		513,079		$	6,617,382			841,817		$	10,812,371
Reinvested dividends		112,412			1,393,950			57,064			723,183
Shares redeemed		(1,560,052	)		(19,973,967	)		(2,102,258	)		(27,036,286	)
Net increase (decrease)		(934,561	)	$	(11,962,635	)		(1,203,377	)	$	(15,500,732	)

372

	Allocation Moderate Growth Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		1,632,620		$	21,237,067			1,264,111		$	16,993,435
Reinvested dividends		4,333,500			51,454,149			460,089			6,087,464
Shares redeemed		(6,275,421	)		(80,696,575	)		(7,643,711	)		(102,438,133	)
Net increase (decrease)		(309,301	)	$	(8,005,359	)		(5,919,511	)	$	(79,357,234	)
	Allocation Moderate Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		1,196,851		$	14,824,131			1,550,960		$	20,017,339
Reinvested dividends		2,434,405			27,829,686			1,031,978			12,954,603
Shares redeemed		(4,440,781	)		(53,972,650	)		(4,767,478	)		(61,625,086	)
Net increase (decrease)		(809,525	)	$	(11,318,833	)		(2,184,540	)	$	(28,653,144	)
	Allocation Balanced Portfolio
	Class 3
	For the year ended March 31, 2016						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		1,407,510		$	16,567,418			1,773,609		$	22,709,838
Reinvested dividends		1,946,524			21,474,832			1,838,181			22,170,880
Shares redeemed		(4,475,636	)		(53,019,125	)		(4,359,868	)		(55,576,510	)
Net increase (decrease)		(1,121,602	)	$	(14,976,875	)		(748,078	)	$	(10,695,792	)

Note 8.  Transactions with Affiliates: The following Portfolios incurred brokerage commissions with affiliated brokers for the year ended March 31, 2016:

Portfolio	Goldman Sachs & Co.		Wells Fargo
Mid Cap Value	$	6,576	$	5,506
Large Cap Growth		—		1,037

As disclosed in the Portfolio of Investments, certain Portfolios owned shares of various SunAmerica Mutual Funds and/or Seasons Series Trust Portfolios and securities issued by AIG or an affiliate thereof. For the year ended March 31, 2016, transactions in these securities were as follows:

Large Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at March 31, 2016
American International Group, Inc.	$	48,213	$	—	$	2,721,364	$	289,127	$	737,453	$	350,602	$	(349,540	)	$	2,274,100

Mid Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at March 31, 2016
Allied World Assurance Co. Holdings AG	$	3,603	$	—	$	142,612	$	8,639	$	15,947	$	8,833	$	(26,284	)	$	117,853

373

Allocation Growth Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Value at March 31, 2016
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 3	$	277,287	$	109,413	$	10,557,101	$	8,422,357	$	3,952,299	$	(112,402	)	$	(73,481	)	$	14,841,276
International Equity Portfolio, Class 3		256,940		—		28,442,041		2,909,718		4,749,620		1,530,508			(4,490,036	)		23,642,611
Large Cap Growth Portfolio, Class 3		62,419		1,910,541		17,998,716		6,154,729		4,909,277		1,226,383			(3,403,910	)		17,066,641
Large Cap Value Portfolio, Class 3		152,826		824,446		23,578,042		2,445,680		11,005,675		5,306,143			(6,784,784	)		13,539,406
Mid Cap Growth Portfolio, Class 3		—		371,883		4,751,753		2,824,625		1,179,915		428,239			(1,304,317	)		5,520,385
Mid Cap Value Portfolio, Class 3		13,389		726,001		10,932,987		1,281,897		7,331,725		2,373,743			(3,524,066	)		3,732,836
Multi-Managed Growth Portfolio, Class 3		—		—		3,342,097		46,204		3,280,827		(41,456	)		(66,018	)		—
Real Return Portfolio, Class 3		63,080		—		—		2,104,313		688,783		(12,713	)		(34,053	)		1,368,764
SA Columbia Focused Growth Portfolio, Class 3		—		173,913		1,175,563		1,065,423		345,060		35,288			(442,916	)		1,488,298
SA Columbia Focused Value Portfolio, Class 3		11,648		15,533		1,941,646		268,691		299,093		99,880			(202,803	)		1,808,321
Small Cap Portfolio, Class 3		—		331,929		8,154,717		1,058,215		3,644,182		1,164,343			(1,973,104	)		4,759,989
SunAmerica Series Trust
High Yield Bond Portfolio, Class 3		52,128		—		—		1,965,736		90,678		(8,341	)		(41,634	)		1,825,083
Real Estate Portfolio, Class 3		—		—		—		2,700,000		—		—			—			2,700,000
	$	889,717	$	4,463,659	$	110,874,663	$	33,247,588	$	41,477,134	$	11,989,615		$	(22,341,122	)	$	92,293,610

Allocation Moderate Growth Portfolio

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Value at March 31, 2016
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 3	$	2,780,191	$	1,097,024	$	150,239,550	$	29,520,029	$	27,849,656	$	(349,379	)	$	(2,102,965	)	$	149,457,579
International Equity Portfolio, Class 3		1,142,966		—		117,893,611		19,810,746		17,543,858		6,159,778			(19,180,425	)		107,139,852
Large Cap Growth Portfolio, Class 3		289,603		8,864,202		74,467,002		35,428,530		13,900,243		3,965,313			(14,118,863	)		85,841,739
Large Cap Value Portfolio, Class 3		717,651		3,871,497		110,372,145		11,175,354		47,982,529		26,249,876			(33,078,997	)		66,735,849
Mid Cap Growth Portfolio, Class 3		—		1,602,642		18,315,941		12,371,592		4,685,434		1,465,369			(5,281,730	)		22,185,738
Mid Cap Value Portfolio, Class 3		62,791		3,404,772		42,883,206		5,233,599		26,921,967		8,551,933			(13,765,126	)		15,981,645
Multi-Managed Moderate Growth Portfolio, Class 3		—		—		21,288,409		145,262		21,012,680		(278,840	)		(142,151	)		—
Real Return Portfolio, Class 3		640,640		—		22,686,203		1,025,887		7,901,034		217,465			(965,426	)		15,063,095
SA Columbia Focused Growth Portfolio, Class 3		—		854,911		6,032,169		4,448,210		1,112,492		102,128			(2,090,558	)		7,379,457
SA Columbia Focused Value Portfolio, Class 3		59,867		79,834		9,083,069		1,533,932		1,136,580		581,252			(1,147,720	)		8,913,953
Small Cap Portfolio, Class 3		—		1,408,152		32,197,102		4,144,303		14,142,037		8,320,116			(11,784,637	)		18,734,847

374

Allocation Moderate Growth Portfolio (continued)

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Value at March 31, 2016
SunAmerica Series Trust
High Yield Bond Portfolio, Class 3	$	156,383	$	—	$	—	$	16,547,089	$	672,343	$	(66,112	)	$	(89,867	)	$	15,718,767
Real Estate Portfolio, Class 3		—		—		—		10,300,000		—		—			(1	)		10,299,999
	$	5,850,092	$	21,183,034	$	605,458,407	$	151,684,533	$	184,860,853	$	54,918,899		$	(103,748,466	)	$	523,452,520

Allocation Moderate Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Value at March 31, 2016
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 3	$	2,207,861	$	871,190	$	113,058,284	$	27,832,963	$	19,397,406	$	44,756		$	(1,889,684	)	$	119,648,913
International Equity Portfolio, Class 3		576,039		—		58,661,868		10,717,193		10,473,561		2,111,703			(8,734,214	)		52,282,989
Large Cap Growth Portfolio, Class 3		156,372		4,786,258		43,184,439		15,424,894		5,472,358		1,749,779			(7,005,212	)		47,881,542
Large Cap Value Portfolio, Class 3		375,372		2,025,011		65,162,952		7,474,301		33,000,786		16,896,070			(20,423,704	)		36,108,833
Mid Cap Growth Portfolio, Class 3		—		934,120		6,630,791		11,044,466		3,422,034		747,693			(2,948,184	)		12,052,732
Mid Cap Value Portfolio, Class 3		34,492		1,870,291		21,766,103		2,685,759		13,804,555		4,347,310			(7,360,754	)		7,633,863
Multi-Managed Income/Equity, Class 3		—		—		16,861,517		33,494		16,686,848		(328,323	)		120,160			—
Real Return Portfolio, Class 3		502,979		—		22,310,287		835,910		10,697,985		(245,877	)		(407,451	)		11,794,884
SA Columbia Focused Growth Portfolio, Class 3		—		455,021		2,806,321		2,794,107		646,489		45,879			(1,118,001	)		3,881,817
SA Columbia Focused Value Portfolio, Class 3		32,296		43,067		4,673,343		1,321,748		650,964		298,027			(581,803	)		5,060,351
SunAmerica Series Trust
Small Cap Portfolio, Class 3		—		858,000		19,004,930		2,310,906		9,007,987		3,744,870			(5,985,940	)		10,066,779
High Yield Bond Portfolio, Class 3		104,255		—		—		12,806,021		608,254		(65,329	)		(76,453	)		12,055,985
Real Estate Portfolio, Class 3		—		—		—		4,800,000		—		—			—			4,800,000
	$	3,989,666	$	11,842,958	$	374,120,835	$	100,081,762	$	123,869,227	$	29,346,558		$	(56,411,240	)	$	323,268,688

375

Allocation Balanced Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain (Loss)			Change in Unrealized Gain (Loss)			Value at March 31, 2016
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 3	$	2,277,982	$	898,859	$	104,638,688	$	44,648,295	$	20,229,906	$	(117,036	)	$	(1,578,264	)	$	127,361,777
International Equity Portfolio, Class 3		324,779		—		36,326,021		3,600,166		6,382,875		717,313			(4,544,201	)		29,716,424
Large Cap Growth Portfolio, Class 3		99,171		3,035,438		33,360,178		7,518,706		9,217,988		2,686,337			(6,042,245	)		28,304,988
Large Cap Value Portfolio, Class 3		242,090		1,305,997		50,269,083		4,859,591		30,278,180		13,058,039			(15,429,973	)		22,478,560
Mid Cap Growth Portfolio, Class 3		—		417,815		3,013,724		5,194,559		934,117		324,135			(1,295,395	)		6,302,906
Mid Cap Value Portfolio, Class 3		17,448		946,077		13,610,193		1,511,772		9,328,848		3,231,585			(4,744,128	)		4,280,574
Multi-Managed Income Portfolio, Class 3		—		—		13,519,532		107,071		13,442,908		(309,974	)		126,279			—
Real Return Portfolio, Class 3		528,796		—		29,267,853		994,469		16,786,231		(371,544	)		(371,221	)		12,733,326
SA Columbia Focused Growth Portfolio, Class 3		—		296,996		2,240,213		1,558,878		529,440		55,012			(747,851	)		2,576,812
SA Columbia Focused Value Portfolio, Class 3		20,068		26,762		3,726,730		909,105		845,093		225,904			(363,473	)		3,653,173
Small Cap Portfolio, Class 3		—		384,714		9,062,120		797,632		3,702,386		1,155,922			(2,128,965	)		5,184,323
SunAmerica Series Trust
High Yield Bond Portfolio, Class 3		78,191		—		—		12,181,608		601,297		(56,333	)		(37,934	)		11,486,044
Real Estate Portfolio, Class 3		—		—		—		2,600,000		—		—			—			2,600,000
	$	3,588,525	$	7,312,658	$	299,034,335	$	86,481,852	$	112,279,269	$	20,599,360		$	(37,157,371	)	$	256,678,907

†  Includes reinvestment of distributions paid.

The Managed Allocation Portfolios do not invest in underlying Seasons Series Trust Portfolios for the purpose of exercising management or control; however, investments by the Managed Allocation Portfolios within the set limits may represent a significant portion of an underlying Seasons Series Trust Portfolio's net assets.

At March 31, 2016, the following affiliates owned outstanding shares of the following Portfolios:

	Holder
Portfolio	USL			AGL			VALIC			Allocation Balanced Portfolio			Allocation Growth Portfolio			Allocation Moderate Growth Portfolio			Allocation Moderate Portfolio			SAST SunAmerica Dynamic Allocation Portfolio			SAST SunAmerica Dynamic Strategy Portfolio
Allocation Balanced		9.45	%		90.53	%		0.02	%		—	%		—	%		—	%		—	%		—	%		—	%
Allocation Growth		6.21			93.43			0.36			—			—			—			—			—			—
Allocation Moderate		6.53			93.39			0.08			—			—			—			—			—			—
Allocation Moderate Growth		5.67			94.24			0.09			—			—			—			—			—			—
Asset Allocation: Diversified Growth		0.94			99.06			—			—			—			—			—			—			—
Diversified Fixed Income		0.09			5.15			—			10.46			1.22			12.27			9.83			52.61			8.37
SA Columbia Focused Growth		0.32			23.45			—			1.31			0.76			3.75			1.97			68.44			0.00
SA Columbia Focused Value		0.10			7.68			—			1.11			0.55			2.70			1.53			55.82			30.51
International Equity		0.12			5.49			—			3.95			3.14			14.22			6.94			40.58			25.56
Large Cap Growth		0.14			12.24			—			6.00			3.62			18.18			10.14			28.75			20.93
Large Cap Value		0.06			5.00			—			2.60			1.61			7.86			4.23			37.58			41.06
Mid Cap Growth		0.27			18.73			—			2.95			2.59			10.39			5.64			38.13			21.30
Mid Cap Value		0.21			15.35			—			1.63			1.46			6.10			2.91			53.51			18.83

376

	Holder
Portfolio	USL			AGL			VALIC			Allocation Balanced Portfolio			Allocation Growth Portfolio			Allocation Moderate Growth Portfolio			Allocation Moderate Portfolio			SAST SunAmerica Dynamic Allocation Portfolio			SAST SunAmerica Dynamic Strategy Portfolio
Multi-Managed Growth		1.55	%		98.45	%		—	%		—	%		—	%		—	%		—	%		—	%		—	%
Multi-Managed Moderate Growth		0.95			99.05			—			—			—			—			—			—			—
Multi-Managed Income/Equity		0.54			99.46			—			—			—			—			—			—			—
Multi-Managed Income		0.76			99.24			—			—			—			—			—			—			—
Real Return		3.21			63.79			0.04			2.14			0.23			2.53			1.98			17.86			8.22
Small Cap		0.20			10.27			—			1.70			1.56			6.16			3.31			32.13			44.67
Stock		0.22			22.05			—			—			—			—			—			77.73			—

Note 9.  Investment Concentration: The International Equity Portfolio invests internationally, including in "emerging market" countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.

Each Portfolio may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaulted, a fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. As a result of the Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, and Diversified Fixed Income Portfolios' concentration in such investments, these funds may be subject to risks associated with U.S. Government agencies or instrumentalities.

Note 10.  Line of Credit: The Trust, along with certain other funds managed by the Adviser, has access to a $75 million committed unsecured line of credit and a $50 million uncommitted unsecured line of credit. The committed and uncommitted lines of credit are renewable on an annual basis with State Street Bank and Trust Company, the Trust's custodian. Interest is currently payable on the committed line of credit at the higher of the Federal Funds Rate (but not less than zero) plus 125 basis points or the One-Month London Interbank Offered Rate (but not less than zero) plus 125 basis points and State Street Bank and Trust Company's discretionary bid rate on the uncommitted line of credit. There is also a commitment fee of 20 basis points per annum on the daily unused portion of the committed line of credit and a one-time closing fee of 5 basis points on the uncommitted line of credit. Borrowings under the line of credit will commence when the respective Portfolio's cash shortfall exceeds $100,000. For the year ended March 31, 2016, the following Portfolios had borrowings:

Portfolio	Days Outstanding		Interest Charges		Average Debt Utilized		Weighted Average Interest
Multi-Managed Growth		76	$	524	$	157,793		1.57	%
Multi-Managed Moderate Growth		139		972		166,528		1.49
Multi-Managed Income/Equity		81		545		160,259		1.51
Multi-Managed Income		24		137		131,902		1.44
Asset Allocation: Diversified Growth		1		5		138,802		1.38
Large Cap Growth		22		464		453,698		1.66
Large Cap Value		24		2,396		2,583,653		1.52
Mid Cap Growth		3		14		101,460		1.68
Mid Cap Value		4		426		2,728,699		1.47
Small Cap		7		99		362,982		1.40
International Equity		7		50		158,258		1.64
Diversified Fixed Income		2		270		2,944,538		1.56
Allocation Growth		74		262		92,104		1.38
Allocation Moderate Growth		106		1,206		296,172		1.38
Allocation Moderate		92		695		196,909		1.38
Allocation Balanced		87		753		225,440		1.38

As of March 31, 2016, there were no outstanding borrowings.

377

Note 11.  Security Transactions with Affiliated Portfolios: The Portfolios are permitted to transfer securities by purchasing from and/or selling to other affiliated funds under certain conditions approved by the Board of Trustees. The affiliated funds involved in such transactions must have a common investment adviser or investment advisers which are affiliated persons of each other, common Trustees, and/or common officers in compliance with Rule 17a-7 of the 1940 Act. Pursuant to the Act, such a transaction must be either a purchase or a sale, for no consideration other than cash payment against prompt delivery of the security at the current market price. No brokerage commission or fee (except for customary transfer fees), or other remuneration is paid in connection with such transactions. For the year ended March 31, 2016, the following Portfolios engaged in security transactions with affiliated Portfolios:

Portfolio	Cost of Purchases		Proceeds from Sales		Realized Gain(Loss)
Stock	$	352,369	$	—	$	—
Large Cap Value		1,482,653		1,578,381		(15,659	)
Mid Cap Growth		836,440		—		—
Mid Cap Value		163,521		64,059		6,200
International Equity		—		62,608		8,045

Note 12.  Interfund Lending Agreement: Pursuant to the exemptive relief granted by the SEC, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by SAAMCo or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the year ended March 31, 2016, none of the Portfolios participated in this program.

Note 13.  Unfunded Loan Commitments: At March 31, 2016, the Diversified Fixed Income Portfolio had the following unfunded loan commitment which could be extended at the option of the Borrower:

Borrower	Principal Type	Maturity Date	Amount		Value
Arch Coal, Inc.	DIP Delayed Draw	01/31/2017	$	55,000	$	52,800
Kenan Advantage Group, Inc.	Strip Delayed Draw	01/31/2017		10,000		9,900
			$	65,000	$	62,700

Note 14. Subsequent Event: The Board of Trustees has approved a Plan of Distribution pursuant to Rule 12b-1 (the "MAPs 12b-1 Plan") under the Act, on behalf of Class 3 of each Seasons Managed Allocation Portfolio. The MAPs 12b-1 Plan is subject to approval by Class 3 shareholders with respect to each Portfolio. If the MAPs 12b-1 Plan is approved by shareholders of a Seasons Managed Allocation Portfolio, Class 3 shares of that Portfolio would be subject to a service fee under the MAPs 12b-1 Plan at the annual rate of up to 0.25% of the average daily net assets of the class. While shares of the Seasons Managed Allocation Portfolios are not currently subject to a Rule 12b-1 plan, each Portfolio invests in Class 3 shares of the Underlying Portfolios, which are subject to a Rule 12b-1 plan that provides for service fees payable at the same rate (up to 0.25%) as under the MAPs 12b-1 Plan. Upon the effective date of the MAPs 12b-1 Plan, each Managed Allocation Portfolio's holdings in the Underlying Portfolios would convert from Class 3 shares to Class 1 shares of the Underlying Portfolios, which are not subject to any such service fees. As a result, the adoption of the MAPs 12b-1 Plan by a Seasons Managed Allocation Portfolio is not expected to have any impact on the total annual operating expenses payable by the Class 3 shares of the Portfolio.

378

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Growth Portfolio Class 1
03/31/12	$	16.10	$	0.09	$	0.76		$	0.85		$	(0.15	)	$	—		$	(0.15	)	$	16.80		5.36	%	$	12,830		1.29	%		0.55	%		67	%
03/31/13		16.80		0.09		0.97			1.06			(0.10	)		—			(0.10	)		17.76		6.37			12,124		1.31			0.56			85
03/31/14		17.76		0.09		2.89			2.98			(0.13	)		(0.45	)		(0.58	)		20.16		16.90			13,202		1.28			0.43			80
03/31/15		20.16		0.13		2.19			2.32			(0.10	)		(3.07	)		(3.17	)		19.31		12.54			12,718		1.17			0.62			67
03/31/16		19.31		0.10		(0.64	)		(0.54	)		(0.12	)		(2.76	)		(2.88	)		15.89		(2.79	)		10,696		1.19			0.56			51
Multi-Managed Growth Portfolio Class 2
03/31/12		16.07		0.06		0.77			0.83			(0.12	)		—			(0.12	)		16.78		5.23			27,093		1.44			0.40			67
03/31/13		16.78		0.07		0.97			1.04			(0.07	)		—			(0.07	)		17.75		6.24			23,299		1.46			0.41			85
03/31/14		17.75		0.06		2.89			2.95			(0.10	)		(0.45	)		(0.55	)		20.15		16.73			24,035		1.43			0.28			80
03/31/15		20.15		0.10		2.18			2.28			(0.07	)		(3.07	)		(3.14	)		19.29		12.31			23,033		1.32			0.47			67
03/31/16		19.29		0.07		(0.63	)		(0.56	)		(0.09	)		(2.76	)		(2.85	)		15.88		(2.90	)		19,939		1.34			0.40			51
Multi-Managed Growth Portfolio Class 3
03/31/12		16.04		0.05		0.76			0.81			(0.10	)		—			(0.10	)		16.75		5.14			34,327		1.54			0.30			67
03/31/13		16.75		0.05		0.98			1.03			(0.06	)		—			(0.06	)		17.72		6.15			32,255		1.56			0.31			85
03/31/14		17.72		0.04		2.88			2.92			(0.09	)		(0.45	)		(0.54	)		20.10		16.58			38,236		1.52			0.19			80
03/31/15		20.10		0.07		2.19			2.26			(0.05	)		(3.07	)		(3.12	)		19.24		12.23			35,817		1.42			0.37			67
03/31/16		19.24		0.05		(0.63	)		(0.58	)		(0.06	)		(2.76	)		(2.82	)		15.84		(3.00	)		27,626		1.44			0.30			51

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
Multi-Managed Growth Portfolio Class 1		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%
Multi-Managed Growth Portfolio Class 2		0.00			0.00			0.01			0.00			0.00
Multi-Managed Growth Portfolio Class 3		0.00			0.00			0.01			0.00			0.00

See Notes to Financial Statements

379

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Moderate Growth Portfolio Class 1
03/31/12	$	14.45	$	0.16	$	0.59		$	0.75		$	(0.27	)	$	(0.55	)	$	(0.82	)	$	14.38		5.69	%	$	15,621		1.09	%		1.12	%		61	%
03/31/13		14.38		0.14		0.72			0.86			(0.18	)		(0.62	)		(0.80	)		14.44		6.28			13,546		1.11			0.97			90
03/31/14		14.44		0.12		1.76			1.88			(0.15	)		(0.82	)		(0.97	)		15.35		13.24			13,622		1.09			0.78			74
03/31/15		15.35		0.15		1.39			1.54			(0.13	)		(1.71	)		(1.84	)		15.05		10.74			13,247		1.02			0.98			71
03/31/16		15.05		0.14		(0.46	)		(0.32	)		(0.20	)		(2.10	)		(2.30	)		12.43		(2.00	)		10,538		1.04			1.01			48
Multi-Managed Moderate Growth Portfolio Class 2
03/31/12		14.42		0.14		0.58			0.72			(0.24	)		(0.55	)		(0.79	)		14.35		5.48			62,180		1.24			0.97			61
03/31/13		14.35		0.12		0.73			0.85			(0.16	)		(0.62	)		(0.78	)		14.42		6.17			54,283		1.26			0.82			90
03/31/14		14.42		0.10		1.76			1.86			(0.13	)		(0.82	)		(0.95	)		15.33		13.08			55,102		1.24			0.63			74
03/31/15		15.33		0.13		1.38			1.51			(0.11	)		(1.71	)		(1.82	)		15.02		10.51			52,837		1.17			0.83			71
03/31/16		15.02		0.12		(0.45	)		(0.33	)		(0.18	)		(2.10	)		(2.28	)		12.41		(2.12	)		44,942		1.19			0.86			48
Multi-Managed Moderate Growth Portfolio Class 3
03/31/12		14.39		0.12		0.60			0.72			(0.23	)		(0.55	)		(0.78	)		14.33		5.46			56,421		1.34			0.87			61
03/31/13		14.33		0.10		0.72			0.82			(0.14	)		(0.62	)		(0.76	)		14.39		6.01			53,393		1.36			0.72			90
03/31/14		14.39		0.08		1.75			1.83			(0.12	)		(0.82	)		(0.94	)		15.28		12.95			78,568		1.33			0.54			74
03/31/15		15.28		0.11		1.39			1.50			(0.10	)		(1.71	)		(1.81	)		14.97		10.46			71,822		1.27			0.73			71
03/31/16		14.97		0.11		(0.46	)		(0.35	)		(0.14	)		(2.10	)		(2.24	)		12.38		(2.25	)		40,753		1.29			0.75			48

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
Multi-Managed Moderate Growth Portfolio Class 1		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%
Multi-Managed Moderate Growth Portfolio Class 2		0.00			0.00			0.01			0.00			0.00
Multi-Managed Moderate Growth Portfolio Class 3		0.00			0.00			0.01			0.00			0.00

See Notes to Financial Statements

380

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Income/Equity Portfolio Class 1
03/31/12	$	12.52	$	0.27	$	0.53		$	0.80		$	(0.43	)	$	(0.17	)	$	(0.60	)	$	12.72		6.67	%	$	12,468		1.09	%		2.18	%		51	%
03/31/13		12.72		0.22		0.64			0.86			(0.33	)		(0.56	)		(0.89	)		12.69		6.95			12,352		1.09			1.70			60
03/31/14		12.69		0.17		0.65			0.82			(0.22	)		(0.50	)		(0.72	)		12.79		6.65			12,165		1.05			1.35			77
03/31/15		12.79		0.19		0.82			1.01			(0.19	)		(1.00	)		(1.19	)		12.61		8.20			11,927		1.00			1.45			86
03/31/16		12.61		0.19		(0.22	)		(0.03	)		(0.27	)		(1.30	)		(1.57	)		11.01		(0.11	)		9,748		1.02			1.60			45
Multi-Managed Income/Equity Portfolio Class 2
03/31/12		12.49		0.26		0.51			0.77			(0.40	)		(0.17	)		(0.57	)		12.69		6.48			55,328		1.24			2.04			51
03/31/13		12.69		0.20		0.64			0.84			(0.30	)		(0.56	)		(0.86	)		12.67		6.86			50,239		1.24			1.55			60
03/31/14		12.67		0.15		0.65			0.80			(0.20	)		(0.50	)		(0.70	)		12.77		6.48			46,030		1.20			1.20			77
03/31/15		12.77		0.17		0.82			0.99			(0.17	)		(1.00	)		(1.17	)		12.59		8.03			44,486		1.15			1.31			86
03/31/16		12.59		0.17		(0.22	)		(0.05	)		(0.25	)		(1.30	)		(1.55	)		10.99		(0.28	)		37,891		1.17			1.45			45
Multi-Managed Income/Equity Portfolio Class 3
03/31/12		12.47		0.24		0.52			0.76			(0.39	)		(0.17	)		(0.56	)		12.67		6.37			35,247		1.34			1.94			51
03/31/13		12.67		0.19		0.64			0.83			(0.29	)		(0.56	)		(0.85	)		12.65		6.76			32,130		1.34			1.45			60
03/31/14		12.65		0.14		0.64			0.78			(0.20	)		(0.50	)		(0.70	)		12.73		6.33			49,269		1.29			1.09			77
03/31/15		12.73		0.16		0.82			0.98			(0.16	)		(1.00	)		(1.16	)		12.55		7.98			45,831		1.25			1.21			86
03/31/16		12.55		0.17		(0.23	)		(0.06	)		(0.21	)		(1.30	)		(1.51	)		10.98		(0.35	)		23,038		1.26			1.34			45

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
Multi-Managed Income/Equity Portfolio Class 1		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%
Multi-Managed Income/Equity Portfolio Class 2		0.00			0.00			0.01			0.00			0.00
Multi-Managed Income/Equity Portfolio Class 3		0.00			0.00			0.01			0.00			0.00

See Notes to Financial Statements

381

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Income Portfolio Class 1
03/31/12	$	12.50	$	0.30	$	0.52		$	0.82		$	(0.47	)	$	(0.32	)	$	(0.79	)	$	12.53		6.90	%	$	11,911		1.08	%		2.38	%		53	%
03/31/13		12.53		0.23		0.52			0.75			(0.32	)		(0.57	)		(0.89	)		12.39		6.09			11,480		1.08			1.81			56
03/31/14		12.39		0.20		0.18			0.38			(0.25	)		(0.42	)		(0.67	)		12.10		3.20			10,622		1.05			1.59			63
03/31/15		12.10		0.22		0.53			0.75			(0.22	)		(0.53	)		(0.75	)		12.10		6.30			9,975		1.00			1.81			87
03/31/16		12.10		0.24		(0.22	)		0.02			(0.28	)		(0.82	)		(1.10	)		11.02		0.29			6,841		1.01			2.01			46
Multi-Managed Income Portfolio Class 2
03/31/12		12.47		0.28		0.53			0.81			(0.45	)		(0.32	)		(0.77	)		12.51		6.79			47,469		1.23			2.23			53
03/31/13		12.51		0.21		0.52			0.73			(0.30	)		(0.57	)		(0.87	)		12.37		5.93			42,792		1.23			1.66			56
03/31/14		12.37		0.18		0.18			0.36			(0.23	)		(0.42	)		(0.65	)		12.08		3.02			37,405		1.21			1.44			63
03/31/15		12.08		0.20		0.53			0.73			(0.20	)		(0.53	)		(0.73	)		12.08		6.13			36,076		1.15			1.65			87
03/31/16		12.08		0.22		(0.22	)		0.00			(0.26	)		(0.82	)		(1.08	)		11.00		0.11			30,780		1.17			1.87			46
Multi-Managed Income Portfolio Class 3
03/31/12		12.45		0.27		0.53			0.80			(0.44	)		(0.32	)		(0.76	)		12.49		6.71			32,770		1.33			2.12			53
03/31/13		12.49		0.20		0.52			0.72			(0.29	)		(0.57	)		(0.86	)		12.35		5.83			29,548		1.33			1.56			56
03/31/14		12.35		0.16		0.18			0.34			(0.23	)		(0.42	)		(0.65	)		12.04		2.84			38,707		1.29			1.32			63
03/31/15		12.04		0.19		0.52			0.71			(0.18	)		(0.53	)		(0.71	)		12.04		6.06			36,255		1.25			1.55			87
03/31/16		12.04		0.21		(0.22	)		(0.01	)		(0.23	)		(0.82	)		(1.05	)		10.98		0.01			20,719		1.26			1.75			46

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
Multi-Managed Income Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Multi-Managed Income Portfolio Class 2		0.00			0.00			0.00			0.00			0.00
Multi-Managed Income Portfolio Class 3		0.00			0.00			0.00			0.00			0.00

See Notes to Financial Statements

382

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)(2)			Ratio of net investment income to average net assets(1)(2)			Portfolio turnover
Asset Allocation: Diversified Growth Portfolio Class 1
03/31/12	$	10.14	$	0.18	$	0.19		$	0.37		$	(0.21	)	$	—		$	(0.21	)	$	10.30		3.93	%(3)	$	24,385		1.04	%		1.88	%		89	%
03/31/13		10.30		0.20		0.99			1.19			(0.24	)		—			(0.24	)		11.25		11.77			22,692		1.05			1.90			67
03/31/14		11.25		0.20		1.86			2.06			(0.33	)		—			(0.33	)		12.98		18.43			22,898		1.01			1.63			61
03/31/15		12.98		0.18		1.17			1.35			(0.24	)		(0.10	)		(0.34	)		13.99		10.56			21,958		0.99			1.36			79
03/31/16		13.99		0.19		(0.85	)		(0.66	)		(0.43	)		(1.42	)		(1.85	)		11.48		(4.69	)		17,363		0.98			1.46			94
Asset Allocation: Diversified Growth Portfolio Class 2
03/31/12		10.12		0.17		0.20			0.37			(0.20	)		—			(0.20	)		10.29		3.84	(3)		87,601		1.19			1.73			89
03/31/13		10.29		0.18		0.99			1.17			(0.22	)		—			(0.22	)		11.24		11.58			77,266		1.20			1.75			67
03/31/14		11.24		0.18		1.86			2.04			(0.31	)		—			(0.31	)		12.97		18.26			74,099		1.16			1.48			61
03/31/15		12.97		0.16		1.17			1.33			(0.22	)		(0.10	)		(0.32	)		13.98		10.39			70,798		1.14			1.21			79
03/31/16		13.98		0.17		(0.85	)		(0.68	)		(0.41	)		(1.42	)		(1.83	)		11.47		(4.88	)		60,314		1.13			1.31			94
Asset Allocation: Diversified Growth Portfolio Class 3
03/31/12		10.11		0.16		0.19			0.35			(0.19	)		—			(0.19	)		10.27		3.64	(3)		73,205		1.28			1.63			89
03/31/13		10.27		0.17		0.99			1.16			(0.21	)		—			(0.21	)		11.22		11.50			67,530		1.30			1.65			67
03/31/14		11.22		0.17		1.86			2.03			(0.30	)		—			(0.30	)		12.95		18.18			65,734		1.26			1.38			61
03/31/15		12.95		0.15		1.17			1.32			(0.21	)		(0.10	)		(0.31	)		13.96		10.28			61,850		1.24			1.11			79
03/31/16		13.96		0.16		(0.85	)		(0.69	)		(0.40	)		(1.42	)		(1.82	)		11.45		(5.00	)		51,394		1.23			1.21			94

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
Asset Allocation: Diversified Growth Portfolio Class 1		0.01	%		0.01	%		0.00	%		0.00	%		0.00	%
Asset Allocation: Diversified Growth Portfolio Class 2		0.01			0.01			0.00			0.00			0.00
Asset Allocation: Diversified Growth Portfolio Class 3		0.01			0.01			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
Asset Allocation: Diversified Growth Portfolio Class 1		0.10	%		0.10	%		0.10	%		0.10	%		0.10	%
Asset Allocation: Diversified Growth Portfolio Class 2		0.10			0.10			0.10			0.10			0.10
Asset Allocation: Diversified Growth Portfolio Class 3		0.10			0.10			0.10			0.10			0.10

  (3)  The Portfolio's performance figure was increased by less than 0.01% from gains on the disposal of investments in violation of investment restrictions.

See Notes to Financial Statements

383

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income		Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Stock Portfolio Class 1
03/31/12	$	15.66	$	(0.04	)	$	1.83		$	1.79		$	—	$	—		$	—		$	17.45		11.43	%	$	19,750		0.96	%		(0.25	)%		24	%
03/31/13		17.45		0.02			1.21			1.23			—		—			—			18.68		7.05			107,950		0.94			0.11			35
03/31/14		18.68		(0.05	)		5.08			5.03			—		(0.85	)		(0.85	)		22.86		27.01			237,515		0.91			(0.23	)		36
03/31/15		22.86		(0.03	)		3.70			3.67			—		(1.25	)		(1.25	)		25.28		16.53			381,906		0.88			(0.15	)		32
03/31/16		25.28		(0.05	)		(0.22	)		(0.27	)		—		(1.80	)		(1.80	)		23.21		(1.32	)		387,062		0.87			(0.19	)		43
Stock Portfolio Class 2
03/31/12		15.52		(0.06	)		1.80			1.74			—		—			—			17.26		11.21			68,643		1.11			(0.40	)		24
03/31/13		17.26		(0.03	)		1.23			1.20			—		—			—			18.46		6.95			61,041		1.11			(0.15	)		35
03/31/14		18.46		(0.08	)		5.02			4.94			—		(0.85	)		(0.85	)		22.55		26.84			58,280		1.06			(0.38	)		36
03/31/15		22.55		(0.07	)		3.65			3.58			—		(1.25	)		(1.25	)		24.88		16.36			55,803		1.03			(0.30	)		32
03/31/16		24.88		(0.08	)		(0.23	)		(0.31	)		—		(1.80	)		(1.80	)		22.77		(1.51	)		47,757		1.02			(0.34	)		43
Stock Portfolio Class 3
03/31/12		15.44		(0.08	)		1.80			1.72			—		—			—			17.16		11.14			59,118		1.21			(0.50	)		24
03/31/13		17.16		(0.04	)		1.21			1.17			—		—			—			18.33		6.82			55,215		1.21			(0.25	)		35
03/31/14		18.33		(0.10	)		4.98			4.88			—		(0.85	)		(0.85	)		22.36		26.70			53,760		1.16			(0.48	)		36
03/31/15		22.36		(0.09	)		3.62			3.53			—		(1.25	)		(1.25	)		24.64		16.27			50,706		1.13			(0.40	)		32
03/31/16		24.64		(0.11	)		(0.22	)		(0.33	)		—		(1.80	)		(1.80	)		22.51		(1.61	)		42,384		1.12			(0.44	)		43

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
Stock Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Stock Portfolio Class 2		0.00			0.00			0.00			0.00			0.00
Stock Portfolio Class 3		0.00			0.00			0.00			0.00			0.00

See Notes to Financial Statements

384

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Large Cap Growth Portfolio Class 1
03/31/12	$	10.07	$	0.05	$	0.97		$	1.02		$	(0.05	)	$	—		$	(0.05	)	$	11.04		10.17	%	$	8,552		0.90	%		0.54	%		52	%
03/31/13		11.04		0.09		0.98			1.07			(0.06	)		(0.39	)		(0.45	)		11.66		10.06			39,935		0.89			0.90			31
03/31/14		11.66		0.06		2.55			2.61			(0.08	)		(0.47	)		(0.55	)		13.72		22.60			158,516		0.85			0.47			69
03/31/15		13.72		0.08		2.07			2.15			(0.06	)		(2.01	)		(2.07	)		13.80		16.61			216,793		0.84			0.57			43
03/31/16		13.80		0.07		(0.07	)		(0.00	)		(0.07	)		(1.28	)		(1.35	)		12.45		(0.04	)		244,613		0.83			0.53			46
Large Cap Growth Portfolio Class 2
03/31/12		9.93		0.04		0.95			0.99			(0.03	)		—			(0.03	)		10.89		10.01			46,185		1.05			0.36			52
03/31/13		10.89		0.07		0.97			1.04			(0.04	)		(0.39	)		(0.43	)		11.50		9.90			41,043		1.04			0.66			31
03/31/14		11.50		0.04		2.51			2.55			(0.06	)		(0.47	)		(0.53	)		13.52		22.38			41,595		1.01			0.32			69
03/31/15		13.52		0.06		2.04			2.10			(0.03	)		(2.01	)		(2.04	)		13.58		16.52			41,272		0.98			0.41			43
03/31/16		13.58		0.05		(0.07	)		(0.02	)		(0.05	)		(1.28	)		(1.33	)		12.23		(0.20	)		35,318		0.98			0.37			46
Large Cap Growth Portfolio Class 3
03/31/12		9.86		0.03		0.95			0.98			(0.02	)		—			(0.02	)		10.82		9.99			225,751		1.15			0.28			52
03/31/13		10.82		0.06		0.96			1.02			(0.03	)		(0.39	)		(0.42	)		11.42		9.76			210,063		1.14			0.57			31
03/31/14		11.42		0.03		2.50			2.53			(0.05	)		(0.47	)		(0.52	)		13.43		22.31			211,518		1.11			0.22			69
03/31/15		13.43		0.04		2.03			2.07			(0.02	)		(2.01	)		(2.03	)		13.47		16.35			195,439		1.08			0.31			43
03/31/16		13.47		0.04		(0.08	)		(0.04	)		(0.04	)		(1.28	)		(1.32	)		12.11		(0.35	)		199,168		1.08			0.28			46

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
Large Cap Growth Portfolio Class 1		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%
Large Cap Growth Portfolio Class 2		0.00			0.00			0.01			0.00			0.00
Large Cap Growth Portfolio Class 3		0.00			0.00			0.01			0.00			0.00

See Notes to Financial Statements

385

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Large Cap Value Portfolio Class 1
03/31/12	$	11.76	$	0.17		$	0.24		$	0.41		$	(0.17	)	$	—		$	(0.17	)	$	12.00		3.70	%	$	12,598		0.89	%		1.59	%		32	%
03/31/13		12.00		0.20			1.60			1.80			(0.17	)		—			(0.17	)		13.63		15.18			117,872		0.88			1.70			31
03/31/14		13.63		0.27			2.35			2.62			(0.15	)		—			(0.15	)		16.10		19.27			392,153		0.82			1.87			31
03/31/15		16.10		0.25			0.90			1.15			(0.19	)		(0.02	)		(0.21	)		17.04		7.16			672,766		0.79			1.55			27
03/31/16		17.04		0.30			(0.87	)		(0.57	)		(0.23	)		(0.87	)		(1.10	)		15.37		(3.19	)		771,124		0.78			1.87			62
Large Cap Value Portfolio Class 2
03/31/12		11.74		0.16			0.23			0.39			(0.15	)		—			(0.15	)		11.98		3.52			41,809		1.04			1.48			32
03/31/13		11.98		0.20			1.59			1.79			(0.15	)		—			(0.15	)		13.62		15.09			39,393		1.03			1.60			31
03/31/14		13.62		0.24			2.35			2.59			(0.13	)		—			(0.13	)		16.08		19.04			39,393		0.98			1.59			31
03/31/15		16.08		0.23			0.89			1.12			(0.16	)		(0.02	)		(0.18	)		17.02		7.00			36,827		0.94			1.39			27
03/31/16		17.02		0.27			(0.86	)		(0.59	)		(0.20	)		(0.87	)		(1.07	)		15.36		(3.32	)		29,350		0.93			1.69			62
Large Cap Value Portfolio Class 3
03/31/12		11.72		0.15			0.24			0.39			(0.14	)		—			(0.14	)		11.97		3.53			257,027		1.14			1.38			32
03/31/13		11.97		0.18			1.58			1.76			(0.14	)		—			(0.14	)		13.59		14.84			261,514		1.13			1.50			31
03/31/14		13.59		0.22			2.35			2.57			(0.11	)		—			(0.11	)		16.05		18.98			280,113		1.08			1.51			31
03/31/15		16.05		0.22			0.88			1.10			(0.14	)		(0.02	)		(0.16	)		16.99		6.91			271,186		1.04			1.29			27
03/31/16		16.99		0.26			(0.87	)		(0.61	)		(0.16	)		(0.87	)		(1.03	)		15.35		(3.42	)		155,929		1.03			1.56			62
Mid Cap Growth Portfolio Class 1
03/31/12		13.03		(0.04	)		0.18			0.14			—			—			—			13.17		1.07			7,441		1.12			(0.36	)		75
03/31/13		13.17		0.01			1.46			1.47			—			(0.48	)		(0.48	)		14.16		11.66			30,299		1.07			0.08			61
03/31/14		14.16		(0.02	)		3.38			3.36			—			(0.43	)		(0.43	)		17.09		23.88			82,505		0.99			(0.15	)		55
03/31/15		17.09		(0.02	)		2.21			2.19			—			(1.42	)		(1.42	)		17.86		13.56			140,381		0.94			(0.13	)		48
03/31/16		17.86		(0.01	)		(1.19	)		(1.20	)		—			(1.02	)		(1.02	)		15.64		(6.77	)		137,158		0.94			(0.08	)		47
Mid Cap Growth Portfolio Class 2
03/31/12		12.75		(0.06	)		0.17			0.11			—			—			—			12.86		0.86			32,440		1.27			(0.52	)		75
03/31/13		12.86		(0.02	)		1.44			1.42			—			(0.48	)		(0.48	)		13.80		11.55			28,219		1.24			(0.14	)		61
03/31/14		13.80		(0.05	)		3.30			3.25			—			(0.43	)		(0.43	)		16.62		23.70			30,749		1.15			(0.33	)		55
03/31/15		16.62		(0.05	)		2.15			2.10			—			(1.42	)		(1.42	)		17.30		13.40			28,242		1.09			(0.29	)		48
03/31/16		17.30		(0.04	)		(1.14	)		(1.18	)		—			(1.02	)		(1.02	)		15.10		(6.87	)		22,390		1.09			(0.23	)		47
Mid Cap Growth Portfolio Class 3
03/31/12		12.60		(0.07	)		0.17			0.10			—			—			—			12.70		0.79			65,265		1.37			(0.61	)		75
03/31/13		12.70		(0.03	)		1.42			1.39			—			(0.48	)		(0.48	)		13.61		11.46			56,673		1.34			(0.24	)		61
03/31/14		13.61		(0.07	)		3.26			3.19			—			(0.43	)		(0.43	)		16.37		23.59			50,088		1.25			(0.43	)		55
03/31/15		16.37		(0.06	)		2.11			2.05			—			(1.42	)		(1.42	)		17.00		13.30			53,768		1.19			(0.38	)		48
03/31/16		17.00		(0.05	)		(1.14	)		(1.19	)		—			(1.02	)		(1.02	)		14.79		(7.06	)		61,932		1.19			(0.30	)		47

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
Large Cap Value Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Large Cap Value Portfolio Class 2		0.00			0.00			0.00			0.00			0.00
Large Cap Value Portfolio Class 3		0.00			0.00			0.00			0.00			0.00
Mid Cap Growth Portfolio Class 1		0.00			0.00			0.00			0.00			0.00
Mid Cap Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.00
Mid Cap Growth Portfolio Class 3		0.00			0.00			0.00			0.00			0.00

See Notes to Financial Statements

386

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Mid Cap Value Portfolio Class 1
03/31/12	$	14.47	$	0.10		$	(0.14	)	$	(0.04	)	$	(0.08	)	$	—		$	(0.08	)	$	14.35		(0.19	)%	$	9,565		1.01	%		0.79	%		54	%
03/31/13		14.35		0.16			2.39			2.55			(0.09	)		—			(0.09	)		16.81		17.86			59,774		0.99			1.13			62
03/31/14		16.81		0.18			3.35			3.53			(0.14	)		—			(0.14	)		20.20		21.05			164,147		0.93			0.98			68
03/31/15		20.20		0.13			1.99			2.12			(0.18	)		(1.72	)		(1.90	)		20.42		11.09			193,319		0.91			0.64			95
03/31/16		20.42		0.19			(1.53	)		(1.34	)		(0.11	)		(3.15	)		(3.26	)		15.82		(5.94	)		233,605		0.91			1.05			67
Mid Cap Value Portfolio Class 2
03/31/12		14.43		0.08			(0.14	)		(0.06	)		(0.06	)		—			(0.06	)		14.31		(0.33	)		37,208		1.16			0.57			54
03/31/13		14.31		0.13			2.40			2.53			(0.06	)		—			(0.06	)		16.78		17.77			35,708		1.14			0.89			62
03/31/14		16.78		0.13			3.36			3.49			(0.11	)		—			(0.11	)		20.16		20.86			36,743		1.08			0.72			68
03/31/15		20.16		0.09			1.99			2.08			(0.14	)		(1.72	)		(1.86	)		20.38		10.93			34,526		1.06			0.45			95
03/31/16		20.38		0.15			(1.52	)		(1.37	)		(0.08	)		(3.15	)		(3.23	)		15.78		(6.12	)		27,278		1.06			0.84			67
Mid Cap Value Portfolio Class 3
03/31/12		14.41		0.07			(0.14	)		(0.07	)		(0.05	)		—			(0.05	)		14.29		(0.43	)		162,469		1.27			0.52			54
03/31/13		14.29		0.12			2.39			2.51			(0.06	)		—			(0.06	)		16.74		17.61			163,073		1.24			0.80			62
03/31/14		16.74		0.11			3.35			3.46			(0.09	)		—			(0.09	)		20.11		20.71			133,694		1.18			0.60			68
03/31/15		20.11		0.07			1.99			2.06			(0.11	)		(1.72	)		(1.83	)		20.34		10.83			114,177		1.16			0.34			95
03/31/16		20.34		0.13			(1.51	)		(1.38	)		(0.06	)		(3.15	)		(3.21	)		15.75		(6.18	)		51,112		1.15			0.65			67
Small Cap Portfolio Class 1
03/31/12		10.25		(0.01	)		(0.06	)		(0.07	)		—			—			—			10.18		(0.68	)(2)		6,125		1.05			(0.08	)		75
03/31/13		10.18		0.02			1.01			1.03			—			—			—			11.21		10.12			27,441		1.05			0.24			115
03/31/14		11.21		0.05			2.84			2.89			—			—			—			14.10		25.78			95,264		0.99			0.37			41
03/31/15		14.10		0.06			0.71			0.77			(0.03	)		(0.56	)		(0.59	)		14.28		5.78			147,337		0.94			0.46			40
03/31/16		14.28		0.04			(1.38	)		(1.34	)		(0.05	)		(0.95	)		(1.00	)		11.94		(9.43	)		243,707		0.93			0.32			65
Small Cap Portfolio Class 2
03/31/12		10.08		(0.03	)		(0.06	)		(0.09	)		—			—			—			9.99		(0.89	)(2)		29,194		1.20			(0.31	)		75
03/31/13		9.99		(0.00	)		1.00			1.00			—			—			—			10.99		10.01			25,992		1.20			(0.02	)		115
03/31/14		10.99		0.02			2.79			2.81			—			—			—			13.80		25.57			27,478		1.15			0.14			41
03/31/15		13.80		0.03			0.71			0.74			(0.01	)		(0.56	)		(0.57	)		13.97		5.65			23,823		1.09			0.25			40
03/31/16		13.97		0.02			(1.35	)		(1.33	)		(0.03	)		(0.95	)		(0.98	)		11.66		(9.61	)		18,131		1.08			0.13			65
Small Cap Portfolio Class 3
03/31/12		9.98		(0.04	)		(0.06	)		(0.10	)		—			—			—			9.88		(1.00	)(2)		95,460		1.29			(0.43	)		75
03/31/13		9.88		(0.01	)		0.99			0.98			—			—			—			10.86		9.92			93,909		1.30			(0.10	)		115
03/31/14		10.86		0.01			2.75			2.76			—			—			—			13.62		25.41			96,671		1.25			0.04			41
03/31/15		13.62		0.02			0.70			0.72			—			(0.56	)		(0.56	)		13.78		5.60			85,401		1.19			0.15			40
03/31/16		13.78		0.00			(1.33	)		(1.33	)		—			(0.95	)		(0.95	)		11.50		(9.70	)		51,317		1.17			0.01			65

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
Mid Cap Value Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.01	%
Mid Cap Value Class 2		0.01			0.00			0.00			0.00			0.01
Mid Cap Value Class 3		0.00			0.00			0.00			0.00			0.01
Small Cap Portfolio Class 1		0.00			0.00			0.00			0.00			0.00
Small Cap Portfolio Class 2		0.00			0.00			0.00			0.00			0.00
Small Cap Portfolio Class 3		0.00			0.00			0.00			0.00			0.00

  (2)  The Portfolio's performance was increased by less than 0.01% from reimbursements for losses realized on the disposal of investments in violation of investment restrictions.

See Notes to Financial Statements

387

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover
International Equity Portfolio Class 1
03/31/12	$	8.09	$	0.16	$	(0.70	)	$	(0.54	)	$	(0.11	)	$	—		$	(0.11	)	$	7.44		(6.54	)%	$	12,881		1.12	%(1)		2.39	%(1)		59	%
03/31/13		7.44		0.08		0.56			0.64			(0.11	)		—			(0.11	)		7.97		8.76			105,553		1.10	(1)		1.21	(1)		50
03/31/14		7.97		0.15		0.99			1.14			(0.10	)		—			(0.10	)		9.01		14.32			268,032		1.03	(1)		1.84	(1)		52
03/31/15		9.01		0.14		(0.20	)		(0.06	)		(0.14	)		—			(0.14	)		8.81		(0.62	)		421,202		0.99	(1)(2)		1.58	(1)(2)		64
03/31/16		8.81		0.13		(1.00	)		(0.87	)		(0.11	)		—			(0.11	)		7.83		(9.94	)		500,027		0.92	(1)(2)		1.63	(1)(2)		28
International Equity Portfolio Class 2
03/31/12		8.09		0.15		(0.69	)		(0.54	)		(0.10	)		—			(0.10	)		7.45		(6.62	)		35,187		1.28	(1)		1.94	(1)		59
03/31/13		7.45		0.10		0.53			0.63			(0.10	)		—			(0.10	)		7.98		8.55			30,852		1.26	(1)		1.38	(1)		50
03/31/14		7.98		0.14		0.98			1.12			(0.09	)		—			(0.09	)		9.01		14.00			30,386		1.18	(1)		1.65	(1)		52
03/31/15		9.01		0.13		(0.20	)		(0.07	)		(0.12	)		—			(0.12	)		8.82		(0.68	)		28,805		1.13	(1)(2)		1.46	(1)(2)		64
03/31/16		8.82		0.13		(1.02	)		(0.89	)		(0.09	)		—			(0.09	)		7.84		(10.09	)		22,223		1.08	(1)(2)		1.52	(1)(2)		28
International Equity Portfolio Class 3
03/31/12		8.08		0.13		(0.69	)		(0.56	)		(0.09	)		—			(0.09	)		7.43		(6.79	)		268,933		1.38	(1)		1.82	(1)		59
03/31/13		7.43		0.09		0.53			0.62			(0.10	)		—			(0.10	)		7.95		8.40			300,965		1.36	(1)		1.22	(1)		50
03/31/14		7.95		0.14		0.97			1.11			(0.08	)		—			(0.08	)		8.98		13.95			266,042		1.29	(1)		1.56	(1)		52
03/31/15		8.98		0.12		(0.20	)		(0.08	)		(0.11	)		—			(0.11	)		8.79		(0.80	)		266,271		1.23	(1)(2)		1.35	(1)(2)		64
03/31/16		8.79		0.12		(1.02	)		(0.90	)		(0.08	)		—			(0.08	)		7.81		(10.21	)		231,504		1.18	(1)(2)		1.40	(1)(2)		28
Diversified Fixed Income Portfolio Class 1
03/31/12		11.50		0.30		0.58			0.88			(0.32)			(0.13	)		(0.45	)		11.93		7.65			20,427		0.75			2.80			104
03/31/13		11.93		0.22		0.29			0.51			(0.26	)		(0.18	)		(0.44	)		12.00		4.32			152,429		0.73			1.94			87
03/31/14		12.00		0.20		(0.31	)		(0.11	)		(0.20	)		(0.11	)		(0.31	)		11.58		(0.87	)		402,275		0.70			1.77			88
03/31/15		11.58		0.22		0.33			0.55			(0.21	)		—			(0.21	)		11.92		4.75			637,855		0.69			1.92			56
03/31/16		11.92		0.23		(0.10	)		0.13			(0.23	)		(0.08	)		(0.31	)		11.74		1.15			750,909		0.68			1.99			37
Diversified Fixed Income Portfolio Class 2
03/31/12		11.48		0.32		0.53			0.85			(0.30	)		(0.13	)		(0.43	)		11.90		7.42			59,131		0.91			2.69			104
03/31/13		11.90		0.22		0.27			0.49			(0.24	)		(0.18	)		(0.42	)		11.97		4.15			52,467		0.88			1.83			87
03/31/14		11.97		0.19		(0.31	)		(0.12	)		(0.18	)		(0.11	)		(0.29	)		11.56		(0.98	)		41,776		0.85			1.66			88
03/31/15		11.56		0.21		0.32			0.53			(0.19	)		—			(0.19	)		11.90		4.58			38,732		0.84			1.78			56
03/31/16		11.90		0.22		(0.10	)		0.12			(0.21	)		(0.08	)		(0.29	)		11.73		1.05			35,485		0.83			1.84			37
Diversified Fixed Income Portfolio Class 3
03/31/12		11.44		0.30		0.54			0.84			(0.29	)		(0.13	)		(0.42	)		11.86		7.35			486,707		1.01			2.57			104
03/31/13		11.86		0.21		0.27			0.48			(0.24	)		(0.18	)		(0.42	)		11.92		4.04			499,708		0.99			1.73			87
03/31/14		11.92		0.18		(0.31	)		(0.13	)		(0.17	)		(0.11	)		(0.28	)		11.51		(1.07	)		465,097		0.95			1.55			88
03/31/15		11.51		0.20		0.31			0.51			(0.17	)		—			(0.17	)		11.85		4.48			405,074		0.94			1.68			56
03/31/16		11.85		0.20		(0.11	)		0.09			(0.20	)		(0.08	)		(0.28	)		11.66		0.83			436,441		0.93			1.74			37

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
International Equity Portfolio Class 1		0.00	%		0.01	%		0.01	%		0.01	%		0.00	%
International Equity Portfolio Class 2		0.00			0.01			0.01			0.01			0.00
International Equity Portfolio Class 3		0.00			0.01			0.01			0.01			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
International Equity Portfolio Class 1		—	%		—	%		—	%		0.01	%		0.04	%
International Equity Portfolio Class 2		—			—			—			0.01			0.04
International Equity Portfolio Class 3		—			—			—			0.01			0.04

See Notes to Financial Statements

388

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover
Real Return Portfolio Class 1
01/23/12@- 03/31/12	$	10.16	$	0.02		$	0.07		$	0.09		$	—		$	—	$	—		$	10.25		0.89	%	$	7,698		0.69	%(1)		0.38	%(1)		38	%
03/31/13		10.25		(0.02	)		0.36			0.34			(0.28	)		—		(0.28	)		10.31		3.28			71,823		0.68			(0.25	)		89
03/31/14		10.31		(0.01	)		(0.46	)		(0.47	)		(0.10	)		—		(0.10	)		9.74		(4.60	)		169,055		0.64			(0.08	)		39
03/31/15		9.74		(0.09	)		0.29			0.20			—			—		—			9.94		2.05			189,273		0.64			(0.95	)		128
03/31/16		9.94		0.01			0.01			0.02			(0.41	)		—		(0.41	)		9.55		0.24			156,274		0.63			0.09			32
Real Return Portfolio Class 3
03/31/12		9.69		0.16			0.40			0.56			—			—		—			10.25		5.78			371,531		0.93			1.66			38
03/31/13		10.25		(0.00	)		0.30			0.30			(0.27	)		—		(0.27	)		10.28		2.95			427,741		0.93			(0.02	)		89
03/31/14		10.28		(0.01	)		(0.49	)		(0.50	)		(0.07	)		—		(0.07	)		9.71		(4.82	)		466,940		0.90			(0.09	)		39
03/31/15		9.71		(0.09	)		0.26			0.17			—			—		—			9.88		1.75			499,722		0.89			(0.92	)		128
03/31/16		9.88		(0.01	)		0.01			(0.00	)		(0.38	)		—		(0.38	)		9.50		0.07			440,312		0.88			(0.08	)		32

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  @  Commencement of operations.

  (1)  Annualized

See Notes to Financial Statements

389

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Columbia Focused Growth Portfolio# Class 1
03/31/12	$	10.62	$	(0.02	)	$	(0.15	)	$	(0.17	)	$	(0.01	)	$	(0.44	)	$	(0.45	)	$	10.00		(1.06	)%	$	6,514		1.12	%		(0.19	)%		143	%
03/31/13		10.00		0.01			0.31			0.32			—			(0.05	)		(0.05	)		10.27		3.19			44,125		1.11			0.13			157
03/31/14		10.27		(0.03	)		2.53			2.50			—			(0.90	)		(0.90	)		11.87		24.53			69,895		1.08			(0.31	)		88
03/31/15		11.87		(0.04	)		1.29			1.25			—			(2.37	)		(2.37	)		10.75		11.44			103,468		1.07			(0.36	)		90
03/31/16		10.75		(0.04	)		(1.10	)		(1.14	)		—			(1.00	)		(1.00	)		8.61		(11.42	)		143,792		0.85	(2)		(0.42	)(2)		140
SA Columbia Focused Growth Portfolio# Class 2
03/31/12		10.44		(0.03	)		(0.15	)		(0.18	)		(0.01	)		(0.44	)		(0.45	)		9.81		(1.21	)		47,737		1.26			(0.32	)		143
03/31/13		9.81		(0.00	)		0.30			0.30			—			(0.05	)		(0.05	)		10.06		3.05			37,000		1.27			(0.05	)		157
03/31/14		10.06		(0.05	)		2.49			2.44			—			(0.90	)		(0.90	)		11.60		24.44			37,394		1.23			(0.46	)		88
03/31/15		11.60		(0.06	)		1.26			1.20			—			(2.37	)		(2.37	)		10.43		11.28			34,180		1.22			(0.52	)		90
03/31/16		10.43		(0.06	)		(1.06	)		(1.12	)		—			(1.00	)		(1.00	)		8.31		(11.59	)		25,493		1.02	(2)		(0.59	)(2)		140
SA Columbia Focused Growth Portfolio# Class 3
03/31/12		10.35		(0.04	)		(0.15	)		(0.19	)		(0.01	)		(0.44	)		(0.45	)		9.71		(1.34	)		98,806		1.37			(0.41	)		143
03/31/13		9.71		(0.01	)		0.30			0.29			—			(0.05	)		(0.05	)		9.95		2.98			82,957		1.37			(0.14	)		157
03/31/14		9.95		(0.06	)		2.45			2.39			—			(0.90	)		(0.90	)		11.44		24.20			56,736		1.33			(0.56	)		88
03/31/15		11.44		(0.07	)		1.24			1.17			—			(2.37	)		(2.37	)		10.24		11.15			41,389		1.32			(0.62	)		90
03/31/16		10.24		(0.06	)		(1.04	)		(1.10	)		—			(1.00	)		(1.00	)		8.14		(11.61	)		36,225		1.11	(2)		(0.69	)(2)		140

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  See Note 1

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
SA Columbia Focused Growth Portfolio Class 1		0.01	%		0.01	%		0.00	%		0.00	%		0.01	%
SA Columbia Focused Growth Portfolio Class 2		0.01			0.01			0.00			0.00			0.01
SA Columbia Focused Growth Portfolio Class 3		0.01			0.01			0.00			0.00			0.01

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/16
SA Columbia Focused Growth Portfolio Class 1		0.22	%
SA Columbia Focused Growth Portfolio Class 2		0.20
SA Columbia Focused Growth Portfolio Class 3		0.21

See Notes to Financial Statements

390

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(2)			Ratio of net investment income to average net assets(2)			Portfolio turnover
SA Columbia Focused Value Portfolio# Class 1
01/23/12@- 03/31/12	$	11.55	$	0.02	$	0.49		$	0.51		$	—		$	—		$	—		$	12.06		4.42	%	$	7,738		1.19	%(1)		0.26	%(1)		50	%
03/31/13		12.06		0.16		1.29			1.45			(0.05	)		—			(0.05	)		13.46		12.05			54,263		1.15			1.40			56
03/31/14		13.46		0.16		2.94			3.10			(0.11	)		—			(0.11	)		16.45		23.06			177,811		1.05	(3)		1.05	(3)		73
03/31/15		16.45		0.19		1.48			1.67			(0.11	)		—			(0.11	)		18.01		10.17			276,585		1.00	(3)		1.14	(3)		28
03/31/16		18.01		0.25		(1.12	)		(0.87	)		(0.17	)		(0.16	)		(0.33	)		16.81		(4.81	)		285,988		0.81	(3)		1.45	(3)		110
SA Columbia Focused Value Portfolio# Class 2
03/31/12		13.21		0.06		(1.07	)		(1.01	)		(0.15	)		—			(0.15	)		12.05		(7.49	)		21,636		1.33			0.50			50
03/31/13		12.05		0.15		1.28			1.43			(0.04	)		—			(0.04	)		13.44		11.94			18,632		1.29			1.24			56
03/31/14		13.44		0.14		2.92			3.06			(0.08	)		—			(0.08	)		16.42		22.83			18,979		1.21	(3)		0.90	(3)		73
03/31/15		16.42		0.17		1.48			1.65			(0.08	)		—			(0.08	)		17.99		10.06			17,357		1.15	(3)		0.97	(3)		28
03/31/16		17.99		0.22		(1.12	)		(0.90	)		(0.14	)		(0.16	)		(0.30	)		16.79		(4.99	)		13,865		0.97	(3)		1.28	(3)		110
SA Columbia Focused Value Portfolio# Class 3
03/31/12		13.18		0.05		(1.06	)		(1.01	)		(0.15	)		—			(0.15	)		12.02		(7.55	)		55,360		1.43			0.39			50
03/31/13		12.02		0.14		1.27			1.41			(0.03	)		—			(0.03	)		13.40		11.80			51,862		1.40			1.15			56
03/31/14		13.40		0.12		2.92			3.04			(0.06	)		—			(0.06	)		16.38		22.70			40,025		1.31	(3)		0.80	(3)		73
03/31/15		16.38		0.15		1.48			1.63			(0.06	)		—			(0.06	)		17.95		9.95			34,399		1.25	(3)		0.86	(3)		28
03/31/16		17.95		0.21		(1.12	)		(0.91	)		(0.12	)		(0.16	)		(0.28	)		16.76		(5.07	)		31,162		1.07	(3)		1.19	(3)		110

  @  Commencement of operations.

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  See Note 1

  (1)  Annualized

  (2)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
SA Columbia Focused Value Portfolio Class 1		0.00	%		0.01	%		0.01	%		0.00	%		0.01	%
SA Columbia Focused Value Portfolio Class 2		0.01			0.01			0.01			0.00			0.01
SA Columbia Focused Value Portfolio Class 3		0.01			0.01			0.01			0.00			0.01

  (3)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16
SA Columbia Focused Value Portfolio Class 1		—	%		—	%		0.03	%		0.05	%		0.23	%
SA Columbia Focused Value Portfolio Class 2		—			—			0.02			0.05			0.22
SA Columbia Focused Value Portfolio Class 3		—			—			0.02			0.05			0.22

See Notes to Financial Statements

391

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Allocation Growth Portfolio Class 3
03/31/12	$	10.08	$	0.07	$	(0.19	)	$	(0.12	)	$	(0.08	)	$	—		$	(0.08	)	$	9.88		(1.13	)%	$	122,826		0.17	%		0.73	%		23	%
03/31/13		9.88		0.06		0.96			1.02			(0.08	)		—			(0.08	)		10.82		10.45			119,359		0.18			0.65			7
03/31/14		10.82		0.06		1.73			1.79			(0.09	)		—			(0.09	)		12.52		16.57			119,271		0.16			0.50			12
03/31/15		12.52		0.07		0.80			0.87			(0.08	)		—			(0.08	)		13.31		6.99			110,769		0.17			0.56			10
03/31/16		13.31		0.09		(0.73	)		(0.64	)		(0.18	)		—			(0.18	)		12.49		(4.78	)		92,251		0.16	(2)		0.72	(2)		28
Allocation Moderate Growth Portfolio Class 3
03/31/12		10.94		0.11		(0.02	)		0.09			(0.11	)		—			(0.11	)		10.92		0.88			692,049		0.13			1.03			22
03/31/13		10.92		0.11		0.89			1.00			(0.12	)		—			(0.12	)		11.80		9.26			695,486		0.13			0.97			5
03/31/14		11.80		0.09		1.37			1.46			(0.17	)		—			(0.17	)		13.09		12.39			652,267		0.13			0.69			9
03/31/15		13.09		0.09		0.74			0.83			(0.14	)		—			(0.14	)		13.78		6.35			605,233		0.13			0.70			6
03/31/16		13.78		0.12		(0.65	)		(0.53	)		(0.18	)		(1.07	)		(1.25	)		12.00		(3.72	)		523,326		0.12	(2)		0.93	(2)		22
Allocation Moderate Portfolio Class 3
03/31/12		10.76		0.11		0.11			0.22			(0.11	)		—			(0.11	)		10.87		2.09			387,252		0.14			1.09			19
03/31/13		10.87		0.12		0.80			0.92			(0.12	)		—			(0.12	)		11.67		8.54			397,818		0.14			1.10			7
03/31/14		11.67		0.09		1.12			1.21			(0.18	)		—			(0.18	)		12.70		10.41			392,796		0.13			0.78			13
03/31/15		12.70		0.10		0.66			0.76			(0.14	)		(0.31	)		(0.45	)		13.01		6.15			373,985		0.14			0.74			7
03/31/16		13.01		0.13		(0.54	)		(0.41	)		(0.16	)		(0.87	)		(1.03	)		11.57		(3.02	)		323,181		0.12	(2)		1.03	(2)		24
Allocation Balanced Portfolio Class 3
03/31/12		10.90		0.12		0.32			0.44			(0.12	)		—			(0.12	)		11.22		4.15			302,034		0.15			1.16			13
03/31/13		11.22		0.14		0.74			0.88			(0.12	)		—			(0.12	)		11.98		7.91			330,689		0.14			1.27			10
03/31/14		11.98		0.10		0.90			1.00			(0.22	)		(0.08	)		(0.30	)		12.68		8.37			314,279		0.13			0.83			14
03/31/15		12.68		0.10		0.62			0.72			(0.15	)		(0.81	)		(0.96	)		12.44		5.93			299,059		0.14			0.77			8
03/31/16		12.44		0.14		(0.39	)		(0.25	)		(0.16	)		(0.83	)		(0.99	)		11.20		(1.90	)		256,605		0.13	(2)		1.18	(2)		28

  *  Calculated based upon average shares outstanding

  **  Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions.

  (1)  Does not include underlying fund expenses that the Portfolios bear indirectly.

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/16
Allocation Growth Portfolio Class 3		0.01	%
Allocation Moderate Growth Portfolio Class 3		0.01
Allocation Moderate Portfolio Class 3		0.01
Allocation Balanced Portfolio Class 3		0.01

See Notes to Financial Statements

392

SEASONS SERIES TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders of Seasons Series Trust:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of each of the twenty portfolios constituting Seasons Series Trust (the "Trust") at March 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2016 by correspondence with the custodian, transfer agent, and brokers, and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Houston, Texas
May 27, 2016

393

SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2016 (unaudited)

At a meeting held on October 13, 2015, the Board of Trustees (the "Board"), including the Trustees that are not interested persons of Seasons Series Trust (the "Trust"), as defined in the Investment Company Act of 1940, as amended (the "Independent Trustees"), approved with respect to each Portfolio the continuation of the Investment Management and Advisory Agreement between SunAmerica Asset Management LLC ("SAAMCo" or the "Adviser") and the Trust (the "Advisory Agreement") and the continuation of each Subadvisory Agreement between SAAMCo and each of the following subadvisers (the "Subadvisory Agreements"): American Century Investment Management, Inc. ("American Century"), BofA Advisors, LLC ("BofA Advisors"), ClearBridge Advisors, LLC, ("ClearBridge"), Columbia Management Investment Advisers, LLC ("Columbia"), Goldman Sachs Asset Management, L.P. ("GSAM"), Ibbotson Associates, Inc. ("Ibbotson"), Janus Capital Management LLC ("Janus"), J.P. Morgan Investment Management Inc. ("J.P. Morgan"), Lord, Abbett & Co. LLC ("Lord Abbett"), Marsico Capital Management, LLC ("Marsico"), Northern Trust Investments, N.A. ("Northern Trust"), PineBridge Investments, LLC ("PineBridge"), Putnam Investment Management, LLC ("Putnam"), T. Rowe Price Associates, Inc. ("T. Rowe Price"), and Wellington Management Company, LLP ("Wellington") (collectively referred to as the "Subadvisers" and each a "Subadviser"). The Advisory Agreement and Subadvisory Agreements are collectively referred to as the "Advisory Contracts."

In connection with the approval of the Advisory Contracts, the Board received materials related to certain factors used in its consideration whether to renew or approve the Advisory Contracts. Those factors included:

(1) the requirements of the Trust in the areas of investment supervisory and administrative services;

(2) the nature, extent and quality of the investment advisory, administrative, operational and compliance services provided by SAAMCo, including a review of the investment performance of the Portfolios and oversight of the Subadvisers;

(3) the size and structure of the investment advisory fee and any other material payments to the Adviser and Subadvisers and, in connection therewith, a review of the costs of services provided and the profits realized by the Adviser and its affiliates from the relationship with the Trust;

(4) the expenses paid by each of the Portfolios, including their total operating expenses and any applicable expense limitation;

(5) the extent to which the Adviser realizes economies of scale and shares them with the Trust;

(6) the organizational capability, resources, personnel and financial condition of the Adviser and Subadvisers and their affiliates; and

(7) the fees paid by the Adviser to the Subadvisers for managing the Portfolios of the Trust.

In addition, the Board considered (a) the historical relationship between the Trust and SAAMCo; (b) the possibility that services of the type required by the Trust might be better obtained from other organizations; (c) the conditions and trends prevailing in the economy, the securities markets and the investment company industry; and (d) the reasonableness of the amount of the fee retained by the Adviser in light of the services provided by the Adviser and the Subadvisers.

The Independent Trustees were separately represented by counsel that is independent of SAAMCo in connection with their consideration of approval of the Advisory Contracts. The matters discussed below were also considered separately by the Independent Trustees in executive sessions during which their independent counsel provided guidance to the Independent Trustees.

The Board received information regarding the Trust's advisory and subadvisory fees compared to advisory and subadvisory fee rates of a group of funds with similar investment strategies and/or objectives, as applicable, (respectively, the "Expense Group/Universe" and the "Subadvisor Expense Group/Universe"), as selected and prepared by an independent third-party provider of investment company data. The Board also received performance data and expense information prepared by management. In addition, the Board considered the expenses and performance of SAAMCo and the Subadvisers with respect to accounts and mutual funds managed by each that have comparable investment objectives and strategies to each of the Portfolios that they manage.

394

SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2016 (unaudited) (continued)

Nature, Extent and Quality of Services. The Board, including the Independent Trustees, considered the nature, quality and extent of services provided by SAAMCo and each of the Subadvisers. In making its evaluation, the Board considered that SAAMCo acts as adviser for each Portfolio, manages the investment of portions of certain Portfolios' assets, manages the daily business affairs of the Trust, and obtains and evaluates economic, statistical and financial information to formulate and implement investment policies and provides oversight with respect to the daily management of certain Portfolios' assets, or a portion thereof, allocated to the Subadvisers, subject to the Trustees' oversight and control. It was also noted that SAAMCo's advisory fees compensate SAAMCo for services such as monitoring Portfolio performance, selecting and replacing Subadvisers, determining asset allocations among Portfolios with multiple Subadvisers and ensuring that the Subadvisers' styles adhere to the prospectus and statement of additional information as well as other administrative, compliance and legal services.

The Board noted that SAAMCo is responsible for overseeing the performance of services by the Trust's custodian, transfer agent and dividend disbursing agent. The Board also noted that SAAMCo is responsible for the financial, legal and accounting records required to be maintained by each Portfolio and for the administration of the Trust's business affairs, including providing such office space, bookkeeping, accounting, clerical, secretarial and administrative services (exclusive of, and in addition to, any such service provided by any others retained by the Trust or any Portfolio) and such executive and other personnel as may be necessary for the operations of each Portfolio. The Board considered that SAAMCo monitors and reviews the activities of third-party service providers that may provide additional administrative services.

In addition, the Board considered the key personnel of SAAMCo that are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios. The Board also considered the compensation program for SAAMCo's investment professionals.

With respect to the Subadvisers, the Board noted that the Subadvisers are responsible for providing investment management services on a day-to-day basis. In such role, each Subadviser (i) determines the securities to be purchased or sold and executes such documents on behalf of the Portfolios they manage as may be necessary in connection therewith; (ii) provides SAAMCo with records concerning their activities; and (iii) renders regular reports to SAAMCo and to officers and Trustees of the Trust concerning their discharge of the foregoing responsibilities. The Board reviewed each Subadviser's history, structure and size, and investment experience. The Board considered each Subadviser's personnel that are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios, as well as current and projected staffing levels and compensation practices. The Board was informed that in management's judgment, each of the Subadvisers has the size, viability and resources to attract and retain highly qualified investment professionals.

The Board reviewed the qualifications, background and responsibilities of SAAMCo's staff and each of the Subadviser's staff who is responsible for providing investment management services to the Portfolios and other key personnel of SAAMCo in addition to current and projected staffing levels and compensation practices.

The Board considered SAAMCo's reputation and long-standing relationship with the Portfolios and considered the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of types of mutual funds and shareholder services. The Board also considered the Trust's relationship with affiliated life insurance companies that offer the Portfolios through variable annuity and variable life insurance products. The Board considered SAAMCo's experience in providing management and investment advisory and administrative services to advisory clients. The Board also considered SAAMCo's code of ethics and its risk management process, and that SAAMCo has developed internal procedures, adopted by the Board, for monitoring compliance with the investment objectives, policies and restrictions of the Portfolios as set forth in the Portfolios' registration statement.

The Board also reviewed and considered SAAMCo's and each Subadviser's compliance and regulatory history, including information about whether any were involved in any litigation, regulatory actions or investigations that could impair their ability to serve as an adviser or subadviser to the Portfolios. The Board considered SAAMCo's and the Subadvisers' risk assessment and risk management processes. The Board concluded that there was no information provided that would have a material adverse effect on SAAMCo's or the Subadvisers' ability to provide services to the Trust.

395

SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2016 (unaudited) (continued)

The Board concluded that it was satisfied with the nature, quality and extent of the services provided by or to be provided by SAAMCo and each Subadviser and that there was a reasonable basis on which to conclude that they would provide high quality services to the Trust.

Portfolio Fees and Expenses; Investment Performance. The Board, including the Independent Trustees, received and reviewed information regarding the Portfolios' fees (actual or contractual management fees, subadvisory fees, non-management fees, and 12b-1 fees, if applicable), and expense ratios compared against such fees and expense ratios of their Expense Group/Universes for each Portfolio. Such fees and expense ratios were compared both before and after expense waivers, caps and reimbursements, if any. It was noted that with respect to subadvisory fees, SAAMCo negotiates such fees at arms-length. The Board also considered that the subadvisory fees are paid by SAAMCo out of its advisory fee and not by the Portfolios, and that subadvisory fees may vary widely within a Subadvisor Expense Group/Universe for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further considered the amount of subadvisory fees paid out by SAAMCo and the amount of the management fees which it retained and determined that these amounts were reasonable in light of the services performed by SAAMCo and the Subadvisers, respectively.

To assist in analyzing the reasonableness of the subadvisory fee, the Board received a report prepared independently by Lipper Inc. ("Lipper") as well as information provided by management. The Board also considered advisory fees received by the Adviser and the Subadvisers with respect to other mutual funds and accounts with similar investment strategies to the Portfolios each advises. Based on the information from Lipper, the Board reviewed detailed information about peer groups of comparable mutual funds based on various factors such as the type of fund (those underlying variable insurance products), comparable investment objectives and strategies, among other factors. Referred to herein are "Expense Groups" and "Performance Groups" that represent those peer groups of funds used to compare expenses and performance, respectively.

The Trustees noted that expense information as a whole was useful in assessing whether the Subadvisers were providing services at a cost that was competitive with other similar funds. The performance information included annualized returns for the period since inception, and its one-, three-, and five-year periods ended June 30, 2015 from Lipper and performance information as of June 30, 2015 from management. On a quarterly basis, the Board monitors and reviews various materials presented and prepared by management, including but not limited to the Portfolios' overall performance, performance relative to each Portfolio's relevant benchmark and Morningstar peer group and each Subadviser's performance within a Portfolio. The Board considered that management makes particular note of Portfolios that may require closer monitoring or potential corrective action by the Board.

As part of its review of the Portfolios' fees and expenses and performance, the Board considered information, including but not limited to the following expense and performance information, provided by Lipper and management in making its determinations. It was noted that actual advisory and subadvisory fees and total expenses were calculated as of each Portfolio's most recent fiscal year end, which may vary among the Portfolio's Expense Group/Universe. The Board considered management's discussion of the Trust's multi-manager subadvisory management structure and its explanation that the structure results in increased advisory fees and expenses to the Portfolio but that it promotes greater performance consistency within the Portfolio's investment objective/strategy.

•  Allocation Balanced Portfolio. The Board considered that the Portfolio's actual advisory fees were below the median of its Expense Group and that its total expenses were above the median of its Expense Group.

  The Board considered that the Portfolio underperformed relative to the median of its Performance Group for the one-, three-, and five-year periods and also underperformed relative to its benchmark index for the one-, three-, and five-year periods. It was noted that SAAMCo assumed full control of the Portfolio in July 2015. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

•  Allocation Growth Portfolio. The Board considered that the Portfolio's actual advisory fees were below the median of its Expense Group but its total expenses were above that median.

396

SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2016 (unaudited) (continued)

  The Board considered that the Portfolio underperformed relative to the median of its Performance Group for the three- and five-year periods and performed above the median of its Performance Group for the one-year period. The Board also considered that the Portfolio underperformed its benchmark index for the one-, three- and five-year periods. It was noted that SAAMCo assumed full control of the Portfolio in July 2015. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

•  Allocation Moderate Portfolio. The Board considered that the Portfolio's actual advisory fees were below the median of its Expense Group. It was also noted that the Portfolio's total expenses were above the median of its Expense Group.

  The Board considered that the Portfolio underperformed its benchmark index for the one-, three- and five-year periods. The Board also considered that performance was below the medians of its Performance Group during the three- and five-year periods and at the median for the one-year period. It was noted that SAAMCo assumed full control of the Portfolio in July 2015. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

•  Allocation Moderate Growth Portfolio. The Board considered that the Portfolio's actual advisory fees were below the median of its Expense Group and that its total expenses were above the median of its Expense Group.

  The Board considered that the Portfolio underperformed its benchmark index for the one-, three- and five-year periods. The Board also considered that performance was below the medians of its Performance Group during the three- and five-year periods and at the median for the one-year period. It was noted that SAAMCo assumed full control of the Portfolio in July 2015. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

•  Asset Allocation: Diversified Growth Portfolio (subadvised by Putnam). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group. The Board noted that SAAMCo and Putnam each agreed to waive 10 basis points of the advisory and subadvisory fees, respectively.

  The Board considered that the Portfolio outperformed relative to the medians of its Performance Group for the one-, three-, and five-year periods and outperformed its benchmark index during the same periods. The Board concluded that the Portfolio's performance was satisfactory in light of management's discussion and all other factors considered.

•  Diversified Fixed Income Portfolio (subadvised by PineBridge and Wellington). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group.

  The Board also considered that the Portfolio underperformed its benchmark index for the one- and three-year periods and was above the median for the five-year period. The Board noted that the Portfolio was below the medians of its Performance Group. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board also considered that the Adviser reallocated the directly managed component of the Portfolio among the Subadvisers in 2013 as part of a restructuring of the Portfolio. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

•  International Equity Portfolio (subadvised by Janus and T. Rowe Price). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group. The Board considered that SAAMCo agreed to waive 4 basis points of the advisory fee.

  The Board considered that the Portfolio underperformed its benchmark index and was below the medians of its Performance Group for the one-, three- and five-year periods. The Board considered that the Portfolio is managed by multiple Subadvisers. It was noted that management replaced one of the Subadvisers in October 2014. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

397

SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2016 (unaudited) (continued)

•  Large Cap Growth Portfolio (advised/subadvised by SAAMCo, GSAM and Janus). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group.

  The Board considered that the Portfolio outperformed its benchmark index for the one-year period and underperformed its Benchmark index for the three- and five-year periods. The Board also considered that performance was below the medians of its Performance Group for the one- and three-year periods and at the median for the five-year period. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board concluded that the Portfolio's performance is satisfactory in light of all factors considered.

•  Large Cap Value Portfolio (advised/subadvised by SAAMCo, American Century and Wellington). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group.

  The Board considered that the Portfolio underperformed its benchmark index for the one-, three- and five-year periods. The Board also considered that performance was below the median of its Performance Group for the one-, three- and five-year periods. The Board considered that the Portfolio is managed by multiple Subadvisers. It was noted that management has subjected the Portfolio to heightened monitoring and added American Century to replace a Subadviser in October 2015. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

•  Mid Cap Growth Portfolio (advised/subadvised by SAAMCo, T. Rowe Price and Wellington). The Board considered that the Portfolio's actual advisory fees were at the median of its Expense Group, but total expenses were above the median.

  The Board considered that the Portfolio outperformed its benchmark index for the one-year period, but not for the three- or five-year periods. The Board also noted that performance was at or above the medians of the Performance Group for the one-, three- and five-year periods. The Board concluded that the Portfolio's performance has been satisfactory in light of all factors considered.

•  Mid Cap Value Portfolio (advised/subadvised by SAAMCo, GSAM and MFS). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group.

  The Board considered that the Portfolio underperformed its benchmark index for the three- and five-year periods but outperformed that index for the one-year period. The Board also considered that performance was below the medians of the Portfolio's Performance Group for the three- and five-year periods but above the median for the one-year period. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

•  Multi-Managed Growth Portfolio (components subadvised by Janus, J.P. Morgan, and Wellington). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group. The Board considered management's report that the Portfolio is a multi-fund strategy and its costs reflect the additional expenses of multi-manager asset allocation and administration.

  The Board considered that the Portfolio outperformed its benchmark index for the one-year period but underperformed that index for the three- and five-year periods. The Board also considered that performance was at or above the median of the Portfolio's Performance Group for the one-, three- and five-year periods. The Board considered that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

•  Multi-Managed Income Portfolio (components subadvised by Janus and Wellington). The Board considered that the Portfolio's actual advisory fees and total expense were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration.

398

SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2016 (unaudited) (continued)

  The Board considered that the Portfolio underperformed its benchmark index for the one-, three- and five-year periods. The Board also noted that performance was above the medians of its Performance Group/Universe for the one-, three- and five-year periods. The Board considered that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance. The Board concluded that the Portfolio's performance was satisfactory in light of management's discussion and all other factors considered.

•  Multi-Managed Income/Equity Portfolio (components subadvised by Janus and Wellington). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration.

  The Board considered that the Portfolio underperformed its benchmark index for the one-, three- and five-year periods. The Board also considered that performance was above the median of the Portfolio's Performance Group for the one-, three- and five-year periods. The Board considered that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance. The Board concluded that the Portfolio's performance was satisfactory in light of management's discussion and all other factors considered.

•  Multi-Managed Moderate Growth Portfolio (components subadvised by Janus, J.P. Morgan and Wellington). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration.

  The Board considered that the Portfolio outperformed its benchmark index for the one-year periods but underperformed that index for the three- and five-year periods. The Board also considered that performance was above the median of the Portfolio's Performance Group for the one-, three- and five-year periods. The Board considered that the Portfolio has multiple Subadvisers and that two Subadviser were removed by management in 2014 due to performance. The Board concluded that the Portfolio's performance was satisfactory in light of management's discussion and all other factors considered.

•  Real Return Portfolio (subadvised by Wellington). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group.

  The Board considered that the Portfolio underperformed its benchmark index for the one-, three- and five-year periods. The Board also considered that the Portfolio underperformed the medians of the Portfolio's Performance Group/Universe for the one- and five-year periods, but exceeded the median for the three-year period. The Board considered management's discussion of the Portfolio's performance and concluded that management is addressing the Portfolio's performance.

•  SA Columbia Focused Growth Portfolio (subadvised by Columbia). The Board considered that the Portfolio's actual advisory fees and total expenses were below the medians of its Expense Group. The Board noted that SAAMCo agreed to waive its fees under the Advisory Agreement with respect to the Portfolio so that the advisory fee payable by the Portfolio is equal to 0.69% of the Portfolio's average daily net assets. The Board also considered that the voluntary expense limitations of 1.30%, 1.45% and 1.55% for the Portfolio's Class 1, Class 2 and Class 3 shares, respectively, would continue for another year.

  The Board also considered that the Portfolio was below the medians of its Performance Group for the one-, three- and five-year periods. The Board also considered that the Portfolio underperformed its benchmark index for the same periods. It was noted that management has subjected the Portfolio to heightened monitoring and that management replaced the Subadvisers in July 2015. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

•  SA Columbia Focused Value Portfolio (subadvised by Columbia). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group. The Board noted that SAAMCo agreed to waive its fees under the Advisory Agreement with respect to the Portfolio so that the advisory fee payable by the Portfolio is equal to 0.67% of the Portfolio's average daily net assets. The Board also considered that the voluntary expense limitations of 1.30%, 1.45% and 1.55% for Class 1, Class 2 and Class 3 shares, respectively, would continue for another year.

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March 31, 2016 (unaudited) (continued)

  The Board also considered that the Portfolio underperformed its benchmark index for the three- and five-year periods but was above that index for the one-year period. The Board noted that the Portfolio was above the median of the Performance Group for the one-year period, but below the medians for the three- and five-year periods. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board also noted that management has subjected the Portfolio to heightened monitoring and that management replaced the Subadvisers in July 2015. The Board concluded that the Portfolio's performance was being addressed in light of management's discussion and all other factors considered.

•  Small Cap Portfolio (advised/subadvised by SAAMCo, J.P. Morgan, and ClearBridge). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group.

  The Board considered that the Portfolio underperformed its benchmark index and that the Portfolio's performance was below the medians of its Performance Group/Universe for the one-, three- and five-year periods. The Board considered that the Portfolio has multiple Subadvisers, including a new Subadviser, which was hired in 2013. The Board considered management's discussions and concluded that the Portfolio's performance was being addressed.

•  Stock Portfolio (subadvised by T. Rowe Price). The Board considered that the Portfolio's actual advisory fees and total expenses were above the medians of its Expense Group.

  The Board considered that the Portfolio outperformed its benchmark index for the one-, three- and five-year periods. The Board also considered that the Portfolio's performance was above the median of its Performance Group for the one-, three- and five-year periods. The Board concluded that the Portfolio's performance has been satisfactory in light of all factors considered.

Cost of Services & Benefits Derived. With respect to indirect costs and benefits, the Board was informed, based on management's judgment, that any indirect costs incurred by SAAMCo in connection with rendering investment advisory services to the Trust were inconsequential to the analysis of the adequacy of the advisory fees, and that any collateral benefits derived as a result of providing advisory services to the Trust were de minimis and did not impact upon the reasonableness of the advisory fee. The Board considered that SAAMCo is paid an administrative services fee of up to 0.04% of the average daily net asset value of the Trust's Portfolios pursuant to an arrangement between SAAMCo and certain affiliated life insurance companies (the "Life Companies"). The Board considered that the Trust also pays VALIC Retirement Services Company, an affiliate of SAAMCo, a fee for the provision of recordkeeping and shareholder services to contract owners and participants.

In connection with benefits derived from the Trust, the Board considered that the Life Companies may benefit as a result of their direct ownership of the Portfolios' shares, which amounts may be material. It was noted that in calculating their corporate income tax liability as insurance companies, the Life Companies, as corporate mutual fund shareholders, may exclude a portion of the ordinary dividends paid by underlying U.S. equities in the Portfolios to the same extent the Portfolios receive certain dividends with respect to shares of stock issued by domestic corporations, subject to applicable tax laws and regulations. In addition, the Life Companies may also rely on foreign tax credits with respect to certain foreign securities held in applicable Portfolios. Finally, the Board considered that the Life Companies receive financial support from SAAMCo and certain Subadvisers for distribution-related activities, including administrative, marketing and other servicing activities, including payments to help offset costs for marketing activities and training (including training of registered representatives of SunAmerica Capital Services, Inc., an affiliate of SAAMCo) to support sales of the Portfolios, as well as occasional gifts, entertainment or other compensation as incentives. It was noted that such payments may be derived from 12b-1 (service) fees that are deducted directly from the assets of the Portfolios or from investment management fees received by SAAMCo or the Subadvisers.

The Board concluded that any benefits that SAAMCo and its affiliates could be expected to receive with regard to providing investment advisory and other services to the Portfolios were reasonable.

Profitability and Economies of Scale. The Board received information related to SAAMCo's profitability with respect to the services it provides to the Trust's Portfolios. The profitability analysis reflected the relationship between SAAMCo and American General Life Insurance Company ("AGL") that provides that SAAMCo contributes the profits earned through its management of the Portfolios of the Trust to AGL. The Board also considered that SAAMCo has entered into an agreement with The United States Life Insurance Company in the City of New York ("USLIC") wherein SAAMCo pays USLIC a fee to perform certain administrative services for the benefit of certain variable annuity contract owners. Pursuant to additional Administrative

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March 31, 2016 (unaudited) (continued)

Services Agreements between SAAMCo and each of AGL and USLIC, SAAMCo pays a fee to each insurer and in return each insurer provides certain administrative, recordkeeping, accounting and similar such services to the Portfolios as they relate to the insurer's participants owning interest in Trust shares. The Board determined that the profitability to SAAMCo in connection with its relationship to the Trust was reasonable.

It was noted that the subadvisory fees paid pursuant to the Subadvisory Agreements are paid by SAAMCo out of the advisory fees that it receives under the Advisory Agreement. The Trustees also relied on the ability of SAAMCo to negotiate the Subadvisory Agreements and the fees thereunder at arm's length. It was noted that SAAMCo reviewed a number of factors in determining appropriate subadvisory fees payable to each Subadviser. Such factors include review of (1) style class peers primarily within the variable annuity universe; (2) key competitor analysis; (3) portfolio analysis; and (4) special considerations such as competitor subaccount characteristics, uniqueness of the product and the manager's prestige. The Board determined that the profitability to each Subadviser in connection with its relationship with the respective Portfolios is therefore not a material factor in their consideration of the Subadvisory Agreements.

The Board also received and considered information regarding the ability of the Portfolios to achieve economies of scale. It was noted that the advisory fees of nearly all Portfolios contain breakpoints that will reduce the fees paid by a Portfolio as its assets increase. The Board also considered that SAAMCo has voluntarily agreed to waive fees in certain instances, which was noted earlier in the discussion of fees. It was noted that as a result of being part of a complex of mutual funds advised or administered by SAAMCo, the Trust is able to share common resources and may share certain expenses, which could result in the Portfolio experiencing lower expenses than they otherwise would achieve if the Trust was a stand-alone entity. The Board considered that management believed that the Portfolios' existing fee schedules and the fee schedules for those Portfolios which management proposed reductions or waivers reflect the economies of scale inherent in providing investment advice to a Portfolio in its particular asset category and asset size. The Board concluded that any potential economies of scale are currently being shared between the Trust and SAAMCo in an appropriate manner.

The Board considered that certain Subadvisory Agreements also contain breakpoints in the fee schedules, however, since SAAMCo, and not the Trust, is responsible for the payment of the fees pursuant to the Subadvisory Agreements, the Trust does not directly benefit from any reduction in subadvisory fee rates. For similar reasons as stated above with respect to the Subadvisers' profitability and the costs of their providing services, the Board concluded that the potential for economies of scale in the Subadvisers' management of the Portfolios are not a material factor in its consideration at this time.

Terms of Advisory Contracts. The Board, including the Independent Trustees, reviewed the terms of the Advisory Contracts including the duties and responsibilities undertaken by SAAMCo and the Subadvisers as discussed above. The Board considered that SAAMCo pays all of its own expenses in connection with the performance of its duties, as well as the salaries, fees and expenses of the officers of the Trust who are employees of SAAMCo. The Board also reviewed the terms of payment for services rendered and noted that SAAMCo compensates the Subadvisers out of the fees it receives from the Trust. The Board noted that each Subadvisory Agreement provides that the Subadviser will pay all of its own expenses in connection with the performance of its duties as well as the cost of maintaining the staff and personnel as necessary for it to perform its obligations. The Board also considered other terms and conditions of the Advisory Contracts.

Conclusions. In reaching its decision to recommend the renewal of the Advisory Contracts, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered and each Trustee attributes different weight to the various factors. Based upon the materials it reviewed, the representations made to it and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that SAAMCo and the Subadvisers possess the capability and resources to perform the duties required of it under their respective Advisory Contracts.

Further, based upon its review of the Advisory Contracts, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that: (1) the terms of the Advisory Contracts are reasonable, fair and in the best interest of the Portfolios and their shareholders, and (2) the advisory fee rates and subadvisory fee rates are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality and the other factors considered.

401

SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2016 (unaudited) (continued)

Approval of the Subadvisory Agreement with PNC Capital Advisors, LLC

At a meeting held on December 9, 2015, the Board of Trustees (the "Board"), including the Trustees that are not interested persons of Seasons Series Trust (the "Trust"), as defined in the Investment Company Act of 1940, as amended (the "Independent Trustees"), approved a subadvisory agreement (the "Subadvisory Agreement") between SunAmerica Asset Management, LLC ("SAAMCo" or the "Adviser") and PNC Capital Advisors, LLC ("PNC") with respect to the Seasons Series Trust Small Cap Portfolio (the "Portfolio"). The Board, including the Independent Trustees, also approved the termination of the subadvisory agreement between SAAMCo and ClearBridge Investments, LLC ("ClearBridge") with respect to the Portfolio.

In connection with the approval of the Subadvisory Agreement, the Board received materials related to certain factors used in its consideration of whether to approve the Subadvisory Agreement. Those factors included:

(1) the requirements of the Portfolio in the areas of investment supervisory and administrative services;

(2) the nature, extent and quality of the investment advisory and administrative services expected to be provided by PNC;

(3) the size and structure of the subadvisory fee and any other material payments to PNC;

(4) the organizational capability and financial condition of PNC and its affiliates;

(5) the possibility that services of the type required by the Trust might be better obtained  from other organizations; and

(6) the fees to be paid by the Adviser to PNC for managing the Portfolio.

In addition, the Board considered (a) the conditions and trends prevailing in the economy, the securities markets and the investment company industry; (b) the profitability of PNC and the amounts retained by SAAMCo; and (c) information regarding PNC's compliance and regulatory history.

The Independent Trustees were separately represented by counsel that is independent of SAAMCo and PNC in connection with their consideration of approval of the Subadvisory Agreement. The matters discussed below were also considered separately by the Independent Trustees in executive sessions during which such independent counsel provided guidance to the Independent Trustees.

The Board received information regarding the Trust's subadvisory fees compared to subadvisory fee rates of a group of funds with similar investment strategies and/or objectives, as applicable (the "Subadvised Expense Group/Universe"), as selected and prepared by an independent third-party provider of investment company data. The Board also received performance data and expense information prepared by management. In addition, the Board considered expenses and performance of PNC with respect to accounts and mutual funds that have comparable investment objectives and strategies to the Portfolio.

Nature, Extent and Quality of Services Provided by PNC.

The Board, including the Independent Trustees, considered the nature, quality and extent of services expected to be provided by PNC. In making its evaluation, the Board considered that SAAMCo acts as adviser for the Portfolio, manages the daily business affairs of the Trust, and obtains and evaluates economic, statistical and financial information to formulate and implement investment policies and provides oversight with respect to the daily management of the Portfolio's assets, subject to the Trustees' oversight and control. It was also noted that SAAMCo's advisory fees compensate SAAMCo for services such as monitoring Portfolio performance, selecting and replacing subadvisers, determining asset allocations among each series of the Trust and ensuring that a subadviser's style adheres to the prospectus and statement of additional information as well as other administrative, compliance and legal services or requirements.

With respect to PNC, the Board noted that PNC would be responsible for providing investment management services on a day-to-day basis. In such role, PNC would (i) determine the securities to be purchased or sold and execute such documents on behalf of the Portfolio as may be necessary in connection with its management thereof; (ii) provide SAAMCo with records concerning its activities; and (iii) render regular reports to SAAMCo and to officers and Trustees of the Trust concerning its discharge of the foregoing responsibilities. The Board reviewed PNC's history, structure and size, and investment experience.

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SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2016 (unaudited) (continued)

The Board considered the personnel of PNC that would be involved in the investment management, administration, compliance and risk management activities with respect to the Portfolio, as well as current and projected staffing levels. The Board was informed that in management's judgment, PNC has the size, viability and resources to attract and retain highly qualified investment professionals. The Board reviewed the qualifications, background and responsibilities of the staff of PNC that would be responsible for providing investment management services to the Portfolio.

The Board also reviewed and considered PNC's compliance and regulatory history, including information about whether it has been involved in any litigation, regulatory actions or investigations that could impair its ability to serve as subadviser to the Portfolio. The Board considered PNC's risk assessment and risk management processes. The Board concluded that there was no information provided that would have a material adverse effect on PNC's ability to provide services to the Trust.

The Board concluded that it was satisfied with the nature, quality and extent of the services expected to be provided by PNC and that there was a reasonable basis on which to conclude that PNC would provide high quality services to the Trust.

Portfolio Fees and Expenses; Investment Performance

The Board, including the Independent Trustees, received and reviewed information regarding the Portfolio's subadvisory fees (actual and contractual) compared against such fees of its Subadvised Expense Group/Universe for the Portfolio. It was noted that with respect to subadvisory fees, SAAMCo negotiates such fees at arm's length. The Board also considered that the subadvisory fees are paid by SAAMCo out of its advisory fee and not by the Portfolio, and that subadvisory fees may vary widely within a Subadvised Expense Group/Universe for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further considered the amount of subadvisory fees paid by SAAMCo and the amount of the management fees which it retained and determined that these amounts were reasonable in light of the services performed by SAAMCo and PNC, respectively.

To assist in analyzing the reasonableness of the subadvisory fee, the Board received a report prepared independently by Lipper, Inc. ("Lipper"), as well as information provided by management. The Board also considered advisory fees received by PNC with respect to other mutual funds and accounts with similar investment strategies to the Portfolio as well as performance data from management and PNC with respect to the Portfolio and any other mutual funds or other accounts advised or subadvised by PNC with similar investment objectives and/or strategies, as applicable.

The Subadvised Expense Group consists of the Portfolio and three other small-cap core funds underlying variable insurance products ("VIPs"), as classified by Lipper. The Subadvised Expense Universe consists of the Portfolio and all other small-cap core funds underlying VIPs with disclosed subadviser agreements, excluding outliers.

The performance information included information as of September 30, 2015 from management. On a quarterly basis, the Board monitors and reviews various materials presented and prepared by management, including but not limited to the Portfolio's overall performance, performance relative to the Portfolio's benchmark and Morningstar peer group, and a subadviser's performance within a portfolio. The Board also considered that management makes particular note of any portfolio that may require closer monitoring or potential corrective action by the Board.

The Board considered that the proposed subadvisory fee to be paid by SAAMCo to PNC pursuant to the Subadvisory Agreement would be higher than the aggregate subadvisory fee paid to ClearBridge pursuant to the previous subadvisory agreement between SAAMCo and ClearBridge with respect to the Portfolio. The Board noted, however, that the subadvisory fee was paid by SAAMCo out of its advisory fee and not by the Portfolio, and that the fees and expenses paid by the Portfolio's shareholders will not increase as a result of the approval of the Subadvisory Agreement.

The Board further considered that ClearBridge's performance was within the bottom quintile with respect to its Lipper peer category for the one-, three- and five-year periods ending September 30, 2015. The Board also considered the separate account composite performance of the PNC Small Cap Fund, adjusted for the Portfolio's Class 3 fund expenses, relative to the Russell 2000 Index and Morningstar peer funds. The Board noted that the strategy had outperformed the benchmark for the one-, three- and five-year trailing periods and for four out of the previous five calendar years. In considering this

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SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2016 (unaudited) (continued)

comparative performance information, however, the Board also reviewed relevant distinctions and differences with respect to such funds and acknowledged that past performance is not necessarily indicative of future results.

The Trustees noted that expense and performance information as a whole was useful in assessing whether PNC is proposing to provide services at a cost that is competitive with other similar funds.

Profitability, Economies of Scale and Other Benefits Derived.

The Board noted that the subadvisory fees paid pursuant to the Subadvisory Agreement are paid by SAAMCo out of its advisory fees. The Trustees also relied on the ability of SAAMCo to negotiate the Subadvisory Agreements and the fees thereunder at arm's length. The Board determined that the profitability to PNC in connection with its relationship with the Portfolio is therefore not a material factor in its consideration of the Subadvisory Agreement.

The Board considered that the Subadvisory Agreement also contains breakpoints in the fee schedule; however, since SAAMCo, and not the Trust, is responsible for the payment of the fees pursuant to the Subadvisory Agreement, the Trust does not directly benefit from any reduction in subadvisory fee rates. The Board also considered other potential indirect benefits to PNC as a result of its relationship with the Portfolio, which could include research benefits obtained by trading the Portfolio's assets, economies of scale, reputational benefits, and the potential for future mandates. For similar reasons as stated above with respect to PNC's profitability, the Board concluded that the potential for economies of scale and other indirect benefits to PNC in its management of the Portfolio are not a material factor in its consideration at this time.

Terms of Subadvisory Agreement.

The Board, including the Independent Trustees, reviewed the terms and conditions of the Subadvisory Agreement, including the duties and responsibilities undertaken by SAAMCo and PNC as discussed above. The Board also reviewed the differences in the terms of the Subadvisory Agreement as compared to the terms of the subadvisory agreement between SAAMCo and ClearBridge with respect to the Portfolio.

Conclusions.

In reaching its decision to recommend the approval of the Subadvisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered and each Trustee attributes different weight to the various factors. Based upon the materials it reviewed, the representations made to it and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that PNC possesses the capability and resources to perform the duties required of it under the Subadvisory Agreement.

Further, based upon its review of the Subadvisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that: (1) the terms of the Subadvisory Agreement are reasonable, fair and in the best interest of the Portfolio and its shareholders, and (2) the subadvisory fee rates are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality and the other factors considered.

Approval of the Subadvisory Agreement with American Century Investment Management, Inc.

At a meeting held on October 13, 2015, the Board of Trustees (the "Board"), including the Trustees that are not interested persons of Seasons Series Trust (the "Trust"), as defined in the Investment Company Act of 1940, as amended (the "Disinterested Trustees"), approved a subadvisory agreement (the "Subadvisory Agreement") between SunAmerica Asset Management, LLC ("SAAMCo" or the "Adviser") and American Century Investment Management, Inc. ("American Century") with respect to a portion of the Seasons Series Trust Large Cap Value Portfolio (the "Portfolio"). The Board, including the Disinterested Trustees, also approved the termination of the subadvisory agreement between SAAMCo and T. Rowe Price Associates, Inc. ("T. Rowe Price") with respect to the Portfolio. As a result, effective October 26, 2015, American Century assumed portfolio management responsibilities for the Portfolio.

In accordance with Section 15(c) of the 1940 Act, the Board requested, and SAAMCo and American Century provided, materials relating to the Board's consideration of whether to approve the Subadvisory Agreement. The Board also took into account presentations made at the Meeting by members of management as well as presentations made by representatives of

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March 31, 2016 (unaudited) (continued)

American Century who responded to questions posed by the Board and management. The Disinterested Trustees were separately represented by independent counsel in connection with their consideration of the approval of the Subadvisory Agreement. In determining whether to approve the Subadvisory Agreement, the Board, including the Disinterested Trustees, also considered the following information:

Nature, Extent and Quality of Services Provided by American Century. The Board, including the Disinterested Trustees, considered the nature, extent and quality of services expected to be provided by American Century with respect to the Portfolio, including investment management services such as investment research, advice and supervision, and determining which securities will be purchased or sold by the Portfolio, subject to the oversight and review of SAAMCo. In addition, the Board reviewed American Century's history, structure, size, visibility and resources, which are needed to attract and retain highly qualified investment professionals. The Board also reviewed the personnel that would be responsible for providing portfolio management services to the Portfolio. The Board concluded, based on the materials provided, discussions with American Century representatives, and diligence conducted by management, that: (i) American Century would be able to retain high quality portfolio managers and other investment personnel; (ii) American Century would exhibit a high level of diligence and attention to detail in carrying out its responsibilities as a subadviser; and (iii) American Century would be responsive to requests of the Board and of SAAMCo. The Board also considered that American Century has developed internal policies and procedures for monitoring compliance with the investment objectives, policies and restrictions of the Portfolio. The Board further considered SAAMCo's assessment of American Century's code of ethics, compliance and regulatory history and risk management processes. The Board also reviewed and considered American Century's compliance and regulatory history, including information about whether it has been involved in any litigation, regulatory actions or investigations that could impair its ability to serve as subadviser to the Portfolio. The Board concluded that there was no information provided that would potentially have a material adverse effect on American Century's ability to serve as a subadviser to the Portfolio.

The Board concluded that the nature and extent of services expected to be provided by American Century under the Subadvisory Agreement were reasonable and appropriate in relation to the proposed subadvisory fees and that the quality of services was reasonably expected to be high.

Consideration of the Subadvisory Fee and the Cost of the Services to be Provided by American Century. The Board, including the Disinterested Trustees, also received and reviewed information regarding the fees to be paid by SAAMCo to American Century pursuant to the Subadvisory Agreement. The Board noted that the subadvisory fee to be paid by SAAMCo to American Century pursuant to the Subadvisory Agreement would be lower than the subadvisory fees that were paid to T. Rowe Price pursuant to the previous subadvisory agreement between SAAMCo and T. Rowe Price with respect to the Portfolio.

To assist in analyzing the reasonableness of the management fee for the Portfolio, the Board received reports independently prepared by Lipper, Inc. ("Lipper"), an independent third-party provider of mutual fund data, which contained comparative fee and expense information with respect to the Portfolio (which is based on estimated expense amounts) and a representative group of similar funds as determined by Lipper. In considering the reasonableness of the management fee to be paid by the Portfolio to SAAMCo, the Board reviewed a number of expense comparisons, including: (i) contractual and actual advisory fees; and (ii) total operating expenses. The Board also considered the various expense components of the Portfolio and compared the Portfolio's net expense ratio to those of other funds within its Peer Group and Peer Universe as a guide to help assess the reasonableness of the management fee for the Portfolio. The Board acknowledged that it was difficult to make precise comparisons with other funds in the Peer Group and Peer Universe since the exact nature of services provided under the various fund agreements is often not apparent. The Board noted, however, that the comparative fee information provided by Lipper, as a whole, was useful in assessing whether SAAMCo would be providing services for a fee that would be competitive with other, similar funds. The Board took into account management's discussion of the Portfolio's proposed fees and anticipated expenses.

The Board also received and reviewed information regarding the subadvisory fee to be paid by SAAMCo to American Century pursuant to the Subadvisory Agreement. To assist in analyzing the reasonableness of the subadvisory fee, the Board received a report prepared independently by Lipper. The report showed comparative fee information of the Portfolio's Peer Group and Peer Universe that the Board used as a guide to help assess the reasonableness of the subadvisory fees. The Board noted that the Peer Group and Peer Universe information, as a whole, was useful in assessing whether American Century was

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March 31, 2016 (unaudited) (continued)

providing services at a cost that was competitive with other similar funds. The Board also considered that the subadvisory fee was paid by SAAMCo out of its advisory fee and not by the Portfolio, and that subadvisory fees may vary widely within a peer group for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further noted that, at current asset levels, the subadvisory fee to be paid by SAAMCo to American Century pursuant to the Subadvisory Agreement would be lower than the aggregate subadvisory fee paid to T. Rowe Price pursuant to the previous subadvisory agreements between SAAMCo and T. Rowe Price with respect to the Portfolio. The Board also considered the amount of the subadvisory fees to be paid out by SAAMCo and the amount of the advisory fee that it would retain and determined that these amounts were reasonable in light of the services to be performed by SAAMCo and American Century, respectively.

The Board also considered fees received by American Century with respect to other mutual funds and accounts for which it serves as adviser or subadviser that have similar investment strategies to the Portfolio, and reviewed any relevant distinctions or differences with respect to such other mutual portfolios or accounts.

Investment Performance. The Board, including the Disinterested Trustees, also considered performance data with respect to any other mutual funds or other accounts advised or subadvised by American Century with similar investment objectives and/or strategies, as applicable. In considering this comparative performance, however, the Board also reviewed any relevant distinctions and differences, and acknowledged that past performance is not necessarily indicative of future results.

Profitability. The Board also considered SAAMCo's profitability and the benefits SAAMCo and its affiliates would receive from its relationship with the Portfolio. The Board was provided with a profitability analysis that detailed the revenues that would be earned and the expenses that would be incurred by SAAMCo and its affiliates that provide services to the Portfolio, including an analysis of the effect on SAAMCo's profitability from the change to American Century.

The Board also reviewed financial statements and/or other reports from American Century and considered whether American Century had the financial resources necessary to attract and retain high quality investment management personnel and to provide high quality services to the Portfolio. The Board concluded that American Century had the financial resources necessary to perform its obligations under the Subadvisory Agreement and would provide the Portfolio with high quality services. The Board also concluded that the subadvisory fees were reasonable in light of the factors discussed above.

Economies of Scale. The Board did not review specific information regarding whether there would be economies of scale with respect to American Century's management of the Portfolio because it regards that information as less relevant at the subadviser level given the arm's-length negotiation of the sub-advisory fee. The Board noted that the negotiated sub-advisory fee, like the fees for the other sub-advisers and SAAMCO, contains breakpoints that would provide some benefit to the Portfolio as the Portfolio's assets managed by American Century increase. Rather, the Board noted that it considered information regarding economies of scale in the context of the renewal of the Advisory Agreement between the Trust and SAAMCo with respect to the Portfolio.

Other Factors. In consideration of the Subadvisory Agreement, the Board also received information regarding American Century's brokerage practices. The Board considered that SAAMCo and American Century would be responsible for decisions to buy and sell securities for the Portfolio, selection of broker-dealers and negotiation of commission rates. The Board also considered that American Century does not have any soft dollar arrangements and does not anticipate entering into any in the foreseeable future.

Conclusion. After a full and complete discussion, the Board approved the Subadvisory Agreement, for an initial term of two years beginning October 26, 2015. Based upon its evaluation of all these factors in their totality, the Board, including the Disinterested Trustees, was satisfied that the terms of the Subadvisory Agreement were fair and reasonable and in the best interests of the Portfolio and its shareholders. In arriving at a decision to approve the Subadvisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and each Disinterested Trustee may have attributed different weights to different factors. The Disinterested Trustees were also assisted by the advice of independent legal counsel in making this determination.

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SEASONS SERIES TRUST
TRUSTEES AND OFFICERS INFORMATION (unaudited)

The following table contains information regarding the Trustees and Officers that oversee operations of the Portfolios and other investment companies within the Fund complex.

Name, Address and Age†	Position Held With Trust	Term of Office and Length of Time Served(1)			Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee(2)		Other Directorships Held by Trustee(3)
Independent Trustees
Garrett F. Bouton Age: 71	Trustee		2007-	Present	Retired (2003-Present); Managing Director and CEO, Barclays Global Investors (1996-2003).		63	Chairman/Director, The LECG Company (consulting services) (2006-2010).
Carl D. Covitz Age: 76	Trustee		2001-	Present	Owner and President, Landmark Capital, Inc. (1973-Present).		63	Director, Arden Realty, Inc. (real estate) (1995-2006).
Jane Jelenko Age: 67	Trustee		2006-	Present	Retired Partner, KPMG, LLP and Managing Director, Bearingpoint, Inc. (formerly KPMG Consulting)(2003-Present).		63	Director, Countrywide Bank (banking) (2003-2008); and Director, Cathay General Bancorp and Cathay Bank (banking) (2012-Present).
Gilbert T. Ray Age: 71	Trustee		2001-	Present	Retired Partner, O'Melveny & Myers LLP (law firm) (2000-Present).		63	Director, Advance Auto Parts, Inc. (retail-auto & home supply stores) (2002-Present); Director, Watson, Wyatt Worldwide (services — management consulting services) (2000-2009); Director, DineEquity (services — restaurant) (2004-Present); Director, Diamond Rock Hospitality (financial — real estate) (2005-Present); Director, Towers Watson & Co. (services — management consulting services) (2010-Present).
Allan L. Sher Age: 84	Trustee		1997-	Present	Retired, Brokerage Executive (1992-Present).		63	Director, Bowl America Inc. (1997-Present).
Bruce G. Willison Age: 67	Trustee and Chairman		2001-	Present	Professor of Management, Anderson School at UCLA (1999-2011); Dean, Anderson School at UCLA (1999-2005); co-founder, Grandpoint Capital, Inc. (2009-2010).		63	Director , GrandPoint Bank (banking) (2011-Present); Director Indy Mac Bancorp (banking) (2003-2008); Director, Move, Inc. ( internet real estate site) (2003-Present); Director, Health Net, Inc. (health insurance plan) (2000-Present).
Interested Trustee
Peter A. Harbeck(4) Age: 62	Trustee		2014-	Present	President, CEO and Director, SAAMCo (1995-Present); Director, AIG Capital Services, Inc. ("ACS") (1993-Present); Chairman, Advisor Group, Inc. (2004-Present).		140	None.

407

SEASONS SERIES TRUST
TRUSTEES AND OFFICERS INFORMATION (unaudited) (continued)

Name, Address and Age†	Position Held With Trust	Length of Time Served(1)			Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer(2)	Other Directorship(s) Held by Officer(3)
Officers
John T. Genoy Age: 47	President		2007-	Present	Chief Financial Officer and Director, SAAMCo (2002-Present); Senior Vice President, SAAMCo (2003-Present); Chief Operating Officer, SAAMCo (2006-Present).	N/A	N/A
Gregory R. Kingston Age: 50	Treasurer		2014-	Present	Vice President, SAAMCo (2001-Present); Head of Mutual Fund Administration (2014-Present).	N/A	N/A
Kathleen D. Fuentes Age: 47	Chief Legal Officer, Vice President and Secretary		2015-	Present	Vice President and Deputy General Counsel, SAAMCo (2006-Present)	N/A	N/A
Gregory N. Bressler Age: 49	Vice President and Assistant Secretary		2005-	Present	Senior Vice President and General Counsel, SAAMCo (2005-Present).	N/A	N/A
Katherine Stoner Age: 59	Vice President and Chief Compliance Officer		2011-	Present	Vice President, SAAMCo (2011-Present); Vice President, The Variable Annuity Life Insurance Company ("VALIC") and Western National Life Insurance Company ("WNL") (2006-Present); Deputy General Counsel and Secretary, VALIC and WNL (2007-2011); Vice President, VALIC Financial Advisors, Inc. (2010-2011) and VALIC Retirement Services Company (2010-Present).	N/A	Director, American General Distributors, Inc. (2006-2011)
Matthew J. Hackethal Age: 44	Anti-Money Laundering Compliance Officer		2006-	Present	Chief Compliance Officer, SAAMCo (2006-Present);	N/A	N/A
Shawn Parry Age: 43	Vice President and Assistant Treasurer		2014-	Present	Assistant Vice President, SAAMCo (2005-2014); Vice President, SAAMCo (2014-Present)	N/A	N/A
Donna McManus Age: 55	Vice President and Assistant Treasurer		2014-	Present	Vice President, SAAMCo (2014-Present); Managing Director, BNY Mellon (2009-2014).	N/A	N/A

†  The business address for each Trustee and Officer is 1999 Avenue of the Stars, Los Angeles, CA 90067-6022.

(1)  Trustees serve until their successors are duly elected and qualified. Each officer will hold office for an indefinite term until the date he or she resigns or retires or until his/her successor is duly elected and qualified.

(2)  The "Fund Complex" consists of all registered investment company portfolios for which SAAMCo serves as investment adviser or administrator. The "Fund Complex" includes the Trust (20 portfolios), SunAmerica Specialty Series (7 funds), SunAmerica Series Trust (43 portfolios), SunAmerica Money Market Funds, Inc. (1 fund), SunAmerica Equity Funds (2 funds), SunAmerica Income Funds (3 funds), SunAmerica Series, Inc. (6 portfolios), Anchor Series Trust (8 portfolios), SunAmerica Senior Floating Rate Fund, Inc. (1 fund), VALIC Company I (34 funds), VALIC Company II (15 funds).

(3)  Directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., "public companies") or other investment companies regulated under the 1940 Act other than those listed under the preceding column.

(4)  Interested Trustee, as defined within the Investment Company Act of 1940, because he serves as President, CEO and Director of SAAMCo, Director of ACS, and Chairman of the Advisor Group, Inc.

Additional information concerning the Trustees and Officers is contained in the Statement of Additional Information and is available without charge by calling (800) 445-SUN2.

408

SEASONS SERIES TRUST
SHAREHOLDERS TAX INFORMATION (unaudited)

Certain tax information regarding the Seasons Series Trust is required to be provided to the shareholders based upon each Portfolio's income and capital gain distributions for the taxable year ended March 31, 2016.

During the year ended March 31, 2016, the Portfolios paid the following dividends per share along with the percentage of ordinary income dividends that qualified for the 70% dividends received deduction for corporations:

	Total Dividends		Net Investment Income		Net Short-term Capital Gains*		Net Long-Term Capital Gains		Qualifying % for the 70% Dividends Received Deductions
Multi-Managed Growth - Class 1	$	2.88	$	0.12	$	0.53	$	2.23		29.94	%
Multi-Managed Growth - Class 2		2.85		0.09		0.53		2.23		29.94
Multi-Managed Growth - Class 3		2.82		0.06		0.53		2.23		29.94
Multi-Managed Moderate Growth - Class 1		2.30		0.20		0.47		1.63		21.53
Multi-Managed Moderate Growth - Class 2		2.28		0.18		0.47		1.63		21.53
Multi-Managed Moderate Growth - Class 3		2.24		0.14		0.47		1.63		21.53
Multi-Managed Income/Equity - Class 1		1.57		0.27		0.33		0.97		12.27
Multi-Managed Income/Equity - Class 2		1.55		0.25		0.33		0.97		12.27
Multi-Managed Income/Equity - Class 3		1.51		0.21		0.33		0.97		12.27
Multi-Managed Income - Class 1		1.10		0.28		0.32		0.50		6.19
Multi-Managed Income - Class 2		1.08		0.26		0.32		0.50		6.19
Multi-Managed Income - Class 3		1.05		0.23		0.32		0.50		6.19
Asset Allocation: Diversified Growth - Class 1		1.85		0.43		0.14		1.28		27.98
Asset Allocation: Diversified Growth - Class 2		1.83		0.41		0.14		1.28		27.98
Asset Allocation: Diversified Growth - Class 3		1.82		0.40		0.14		1.28		27.98
Stock - Class 1		1.80		—		—		1.80		—
Stock - Class 2		1.80		—		—		1.80		—
Stock - Class 3		1.80		—		—		1.80		—
Large Cap Growth - Class 1		1.35		0.07		0.25		1.03		49.14
Large Cap Growth - Class 2		1.33		0.05		0.25		1.03		49.14
Large Cap Growth - Class 3		1.32		0.04		0.25		1.03		49.14
Large Cap Value - Class 1		1.10		0.23		0.20		0.67		69.72
Large Cap Value - Class 2		1.07		0.20		0.20		0.67		69.72
Large Cap Value - Class 3		1.03		0.16		0.20		0.67		69.72
Mid Cap Growth - Class 1		1.02		—		0.05		0.97		100.00
Mid Cap Growth - Class 2		1.02		—		0.05		0.97		100.00
Mid Cap Growth - Class 3		1.02		—		0.05		0.97		100.00
Mid Cap Value - Class 1		3.26		0.11		0.70		2.45		29.45
Mid Cap Value - Class 2		3.23		0.08		0.70		2.45		29.45
Mid Cap Value - Class 3		3.21		0.06		0.70		2.45		29.45
Small Cap - Class 1		1.00		0.05		0.10		0.85		93.76
Small Cap - Class 2		0.98		0.03		0.10		0.85		93.76
Small Cap - Class 3		0.95		—		0.10		0.85		93.76
International Equity - Class 1		0.11		0.11		—		—		0.18
International Equity - Class 2		0.09		0.09		—		—		0.18
International Equity - Class 3		0.08		0.08		—		—		0.18
Diversified Fixed Income - Class 1		0.31		0.23		0.02		0.06		0.14
Diversified Fixed Income - Class 2		0.29		0.21		0.02		0.06		0.14
Diversified Fixed Income - Class 3		0.28		0.20		0.02		0.06		0.14
Real Return - Class 1		0.41		0.41		—		—		—
Real Return - Class 3		0.38		0.38		—		—		—

409

	Total Dividends		Net Investment Income		Net Short-term Capital Gains*		Net Long-Term Capital Gains		Qualifying % for the 70% Dividends Received Deductions
SA Columbia Focused Growth Portfolio - Class 1	$	1.00	$	—	$	0.01	$	0.99		100.00	%
SA Columbia Focused Growth Portfolio - Class 2		1.00		—		0.01		0.99		100.00
SA Columbia Focused Growth Portfolio - Class 3		1.00		—		0.01		0.99		100.00
SA Columbia Focused Value Portfolio - Class 1		0.33		0.17		—		0.16		100.00
SA Columbia Focused Value Portfolio - Class 2		0.30		0.14		—		0.16		100.00
SA Columbia Focused Value Portfolio - Class 3		0.28		0.12		—		0.16		100.00
Allocation Growth - Class 3		0.18		0.18		—		—		33.89
Allocation Moderate Growth - Class 3		1.25		0.18		—		1.07		27.09
Allocation Moderate - Class 3		1.03		0.16		0.00		0.87		26.11
Allocation Balanced - Class 3		0.99		0.16		—		0.83		24.82

*  Short-Term capital gains are treated as ordinary income for tax purposes.

The International Equity, Allocation Growth, Allocation Moderate Growth, Allocation Moderate and Allocation Balanced Portfolios make an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Portfolios to its shareholders. The total amount of foreign taxes passed through to the shareholders for the fiscal year ended March 31, 2016 was $1,142,389, $33,677, $149,807, $75,501 and $42,568 for the aforementioned funds, respectively. The foreign source income amounts were $20,036,751, $288,495, $1,283,336, $646,784 and $364,665, respectively.

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SEASONS SERIES TRUST
INDIVIDUAL PORTFOLIO REVIEWS (unaudited)

To help you better understand the investment management of the Portfolios, we have included on the following pages investment comments regarding the 20 investment portfolios of the Season Series Trust:

Seasons Strategies

1.  Multi-Managed Growth Portfolio

2.  Multi-Managed Moderate Growth Portfolio

3.  Multi-Managed Income/Equity Portfolio

4.  Multi-Managed Income Portfolio

5.  Asset Allocation: Diversified Growth Portfolio

6.  Stock Portfolio

Seasons Select Portfolios

7.  Large Cap Growth Portfolio

8.  Large Cap Value Portfolio

9.  Mid Cap Growth Portfolio

10.  Mid Cap Value Portfolio

11.  Small Cap Portfolio

12.  International Equity Portfolio

13.  Diversified Fixed Income Portfolio

14.  Real Return Portfolio

Seasons Focused Portfolios

15.  SA Columbia Focused Growth Portfolio

16.  SA Columbia Focused Value Portfolio

Seasons Managed Allocation Portfolios

17.  Allocation Growth Portfolio

18.  Allocation Moderate Growth Portfolio

19.  Allocation Moderate Portfolio

20.  Allocation Balanced Portfolio

Asset allocations for each Strategy, as shown in your prospectus, represent a "neutral asset allocation mix"; actual allocations may vary based on performance and the money managers' evaluation of market conditions. For more information on the composition of the Seasons Strategies as well as their underlying portfolios, please refer to your prospectus.

Seasons Select Portfolios are two-thirds actively managed, one-third passively managed. The one-third passive management is designed to replicate the performance of the appropriate index. Each of the remaining thirds is actively managed by experts who bring their knowledge and experience to the security selection and asset allocation processes.

The Focused Portfolios invest in a concentrated group of securities hand-picked by a leading money manager from investment opportunities in specific industries and market sectors. Although this concentrated approach offers potentially higher returns, it also comes with potentially higher risk.

In the following pages, we have also included graphs that compare the portfolio's performance with certain market indices. These graphs show the hypothetical growth of a $10,000 investment in the Seasons Series Trust portfolio versus the same $10,000 investment in comparable market indices, from the portfolio's inception date through March 31, 2016. Importantly, such indexes represent "paper" portfolios and do not reflect the costs and expenses of actual investing. Descriptions of these market indices are provided next to the individual graphs.

Please note that the graphs and tables that accompany the following investment comments show the performance of the portfolio at the Seasons Series Trust level. The returns shown represent Class 1 shares, unless otherwise noted, and include all trust expenses, but no insurance company expenses associated with the variable

412

annuity contract, and no contingent deferred sales charge. The returns for Class 2 and Class 3 shares differ from Class 1 only to the extent that Class 2 and Class 3 shares are subject to 12b-1 fees. All dividends are assumed to be reinvested. No expenses are deducted from the performance of the indices.

Market indices referenced are unmanaged. You cannot invest directly in an index. Investments in stocks and bonds are subject to risk, including stock market and interest-rate fluctuations. Investments in non-U.S. stocks are subject to additional risks, including political and social instability, differing securities regulations and accounting standards, and limited public information. Mortgage-backed securities are subject to prepayment, which can result in reinvestment of principal at lower yields. Money market instruments generally offer stability and income, but an investment in these securities, like investments in other portfolios, is not guaranteed by the U.S. government or any other entity. Lower rated high yield, high-risk securities generally involve more credit risk. These securities may also be subject to greater market price fluctuations than lower yielding, higher rated debt securities. The common stocks of medium-sized companies may be more volatile than those of larger, more established companies. Investing in real estate involves special risks, which may not be associated with investing in stocks, including possible declines in real estate values, adverse economic conditions, and changes in interest rates. Investments in small capitalization and emerging growth companies involve greater than average risk. Such securities may have limited marketability and the issuers may have limited product lines, markets and financial resources. The value of such investments may fluctuate more widely than investments in larger, more established companies. The technology industry can be significantly affected by obsolescence, short product cycles, falling prices and profits, and competition from new market participants. Funding choices that primarily invest in one sector are more volatile than those that diversify across many industry sectors and companies.

413

Multi-Managed Growth Portfolio Class 1 (unaudited)

Investment Goal:	Long-term growth of capital
Managers:	J.P. Morgan Investment Management Inc. Janus Capital Management LLC Wellington Management Company LLP

Growth of a $10,000 Investment

Multi-Managed Growth Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–2.79	%		–2.90	%		–3.00	%
5-Year		7.47	%		7.31	%		7.21	%
10-Year		6.56	%		6.41	%		6.30	%
Since Inception		7.77	%		3.40	%		7.90	%

* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02

¹ The S&P 500^® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.

² The Russell 1000^® Index measures the performance of the 1,000 largest companies in the Russell 3000^® Index, which represents approximately 92% of the total market capitalization of the Russell 3000^® Index.

³ Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000^® Index.

⁴ The Barclays U.S. Aggregate Bond Index combines several Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.

⁵ The Russell 1000^® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.

⁶ The Blended Index consists of 51% Russell 1000^® Index, 27% Barclays U.S. Aggregate Bond Index, 20% Russell 2000^® Index, and 2% Citigroup Treasury Bill 3 month Index.

U.S. Treasury bills are short-term securities with maturities of one year or less issued by the U.S. government.

⁷ The Citigroup Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Multi-Managed Growth Portfolio — Class 1

The Multi-Managed Growth Portfolio — Class 1 shares posted a return of –2.79% for the 12-month period ending March 31, 2016, compared to a 1.78% return for the S&P 500 Index and a –0.99% return for the Blended Index, which is comprised of 71% equity and 29% fixed income and short-term bond indexes.

The Portfolio allocates its assets among three distinct components. The managed components include a fixed income component, a growth component, and a small cap growth component. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management, LLC, is benchmarked to the Russell 1000 Growth Index. The small cap growth component, managed by J.P. Morgan Investment Management, Inc., is benchmarked to the Russell 2000 Index.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
414

Multi-Managed Growth Portfolio Class 1 (unaudited) (continued)

The Portfolio component managed by Wellington Management Company LLP trailed its benchmark for the period. Sector allocations were the main detractor from relative performance during the period. The Portfolio's allocation to unhedged local currency emerging markets debt detracted the most from relative results. The Portfolio's allocation to high yield also detracted from relative performance. Partially offsetting these negative results was positive security selection within investment grade credit, particularly within industrials. The Portfolio's allocation to collateralized loan obligations within the asset-backed securities sector also aided relative results. Duration and yield curve positioning was also additive to relative performance.

The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was concentrated in stock selection within the health care and industrials sectors. Biogen, Inc. and Endo International PLC were among the leading detractors. The Portfolio continues to own Biogen, Inc., while Endo International PLC was exited. Stock selection within the telecommunication services and energy sectors contributed positively to relative results. Alphabet, Inc. (formerly Google) and Amazon.com, Inc. were among the Portfolio's top positive contributors.

The Portfolio component managed by J.P. Morgan Investment Management, Inc. outperformed its benchmark for the period. Performance was largely due to positive stock selection in the health services & systems and media industries. At the stock level, an overweight position in media company Take-Two Interactive Software, Inc. was a top contributor to performance. Within the software & services industry, a position in Rovi Corp. contributed to performance. Alternatively, performance was hurt by stock selection in the pharmaceutical and consumer cyclical industries. At the stock level, software & services company Unisys Corp. and the consumer cyclical firm Iconix Brand Group, Inc. were among the top detractors.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
415

Multi-Managed Moderate Growth Portfolio Class 1 (unaudited)

Investment Goal:	Long-term growth of capital, with capital preservation as a secondary objective
Managers:	J.P. Morgan Investment Management Inc. Janus Capital Management, LLC Wellington Management Company LLP

Growth of a $10,000 Investment

Multi-Managed Moderate Growth Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–2.00	%		–2.12	%		–2.25	%
5-Year		6.66	%		6.50	%		6.40	%
10-Year		6.20	%		6.04	%		5.93	%
Since Inception		7.25	%		3.72	%		7.04	%

* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02

¹ The S&P 500^® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.

² The Russell 1000^® Index measures the performance of the 1,000 largest companies in the Russell 3000^® Index, which represents approximately 92% of the total market capitalization of the Russell 3000^® Index.

³ Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000^® Index.

⁴ The Barclays U.S. Aggregate Bond Index combines several Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.

⁵ The Russell 1000^® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.

⁶ The Blended Index consists of 37.9% Russell 1000^® Index, 42.3% Barclays U.S. Aggregate Bond Index, 18% Russell 2000^® Index, and 1.8% Citigroup Treasury Bill 3 months Index.

U.S. Treasury bills are short-term securities with maturities of one year or less issued by the U.S. government.

⁷ The Citigroup Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Multi-Managed Moderate Growth Portfolio — Class 1

The Multi-Managed Moderate Growth Portfolio — Class 1 shares posted a return of -2.00% for the 12-month period ending March 31, 2016, compared to a 1.78% return for the S&P 500 Index and a -0.52% return for the Blended Index, which is comprised of 56% equity and 44% fixed income and short-term bond indexes.

The Portfolio allocates its assets among three distinct components. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management, LLC, is benchmarked to the Russell 1000 Growth Index. The small cap growth component, managed by J.P. Morgan Investment Management, Inc., is benchmarked to the Russell 2000 Index.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
416

Multi-Managed Moderate Growth Portfolio Class 1 (unaudited) (continued)

The Portfolio component managed by Wellington Management Company LLP trailed its benchmark for the period. Sector allocations were the main detractor from relative performance during the period. The Portfolio's allocation to unhedged local currency emerging markets debt detracted the most from relative results. The Portfolio's allocation to high yield also detracted from relative performance. Partially offsetting these negative results was positive security selection within investment grade credit, particularly within industrials. The Portfolio's allocation to collateralized loan obligations within the asset-backed securities sector also aided relative results. Duration and yield curve positioning was also additive to relative performance.

The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was concentrated in stock selection within the health care and industrials sectors. Biogen and Endo International were among the leading detractors. The Portfolio continues to own Biogen, while Endo was exited. Stock selection within the telecommunication services and energy sectors contributed positively to relative results. Alphabet Inc. (formerly Google) and Amazon were among the Portfolio's top positive contributors.

The Portfolio component managed by J.P. Morgan Investment Management, Inc. outperformed its benchmark for the period. Performance was largely due to positive stock selection in the health services & systems and media industries. At the stock level, an overweight position in media company Take-Two Interactive was a top contributor to performance. Within the software & services industry, a position in Rovi contributed to performance. Alternatively, performance was hurt by stock selection in the pharmaceutical and consumer cyclical industries. At the stock level, software & services company Unisys and the consumer cyclical firm Iconix Brand Group were among the top detractors.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
417

Multi-Managed Income/Equity Portfolio Class 1 (unaudited)

Investment Goal:	Conservation of principal while maintaining some potential for long-term growth of capital
Managers:	Janus Capital Management LLC Wellington Management Company LLP

Growth of a $10,000 Investment

Multi-Managed Income/Equity Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–0.11	%		–0.28	%		–0.35	%
5-Year		5.63	%		5.47	%		5.38	%
10-Year		5.90	%		5.75	%		5.64	%
Since Inception		6.50	%		4.48	%		6.03	%

* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02

¹ The S&P 500^® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.

² The Russell 1000^® Index measures the performance of the 1,000 largest companies in the Russell 3000^® Index, which represents approximately 92% of the total market capitalization of the Russell 3000^® Index.

³ The Barclays U.S. Aggregate Bond Index combines several Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.

⁴ The Russell 1000^® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.

⁵ The Blended Index consists of 33.4% Russell 1000^® Index, 63.8% Barclays U.S. Aggregate Bond Index, and 2.8% Citigroup Treasury Bill 3 month Index.

U.S. Treasury bills are short-term securities with maturities of one year or less issued by the U.S. government.

⁶ The Citigroup Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Multi-Managed Income/Equity Portfolio — Class 1

The Multi-Managed Income/Equity Portfolio — Class 1 shares posted a return of -0.11% for the 12-month period ending March 31, 2016, compared to a 1.78% return for the S&P 500 Index and a 1.96% return for the Barclays U.S. Aggregate Bond Index. The Blended Index, comprising approximately 33% equity and 67% fixed income and short-term bonds, returned 1.64%.

The Portfolio allocates its assets among two distinct components. The fixed income component, managed by Wellington Management Company, LLP, is benchmarked to the Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management, LLC, is benchmarked to the Russell 1000 Growth Index.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
418

Multi-Managed Income/Equity Portfolio Class 1 (unaudited) (continued)

The Portfolio component managed by Wellington Management Company LLP trailed its benchmark for the period. Sector allocations were the main detractor from relative performance during the period. The Portfolio's allocation to unhedged local currency emerging markets debt detracted the most from relative results. The Portfolio's allocation to high yield also detracted from relative performance. Partially offsetting these negative results was positive security selection within investment grade credit, particularly within industrials. The Portfolio's allocation to collateralized loan obligations within the asset-backed securities sector also aided relative results. Duration and yield curve positioning was also additive to relative performance. During the period, the Portfolio utilized currency forwards, currency options, futures, and interest rate swaps. Overall derivative positioning detracted from relative results.

The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was concentrated in stock selection within the health care and industrials sectors. Biogen, Inc. and Endo International PLC were among the leading detractors. The Portfolio continues to own Biogen, Inc., while Endo International PLC was exited. Stock selection within the telecommunication services and energy sectors contributed positively to relative results. Alphabet, Inc. (formerly Google) and Amazon.com, Inc. were among the Portfolio's top positive contributors.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
419

Multi-Managed Income Portfolio Class 1 (unaudited)

Investment Goal:	Capital preservation
Managers:	Janus Capital Management LLC Wellington Management Company LLP

Growth of a $10,000 Investment

  

Multi-Managed Income Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		0.29	%		0.11	%		0.01	%
5-Year		4.53	%		4.37	%		4.26	%
10-Year		5.42	%		5.26	%		5.15	%
Since Inception		5.91	%		4.68	%		5.19	%

* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02

¹ The S&P 500^® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.

² The Russell 1000^® Index measures the performance of the 1,000 largest companies in the Russell 3000^® Index, which represents approximately 92% of the total market capitalization of the Russell 3000^® Index.

³ The Barclays U.S. Aggregate Bond Index combines several Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.

⁴ The Russell 1000^® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.

⁵ The Blended Index consists of 17.3% Russell 1000^® Index, 81.0% Barclays U.S. Aggregate Bond Index, and 1.7% Citigroup Treasury Bill 3 month Index.

U.S. Treasury bills are short-term securities with maturities of one year or less issued by the U.S. government.

⁶ The Citigroup Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Multi-Managed Income Portfolio — Class 1

The Multi-Managed Income Portfolio — Class 1 shares posted a return of 0.29% for the 12-month period ending March 31, 2016, compared to a 1.78% return for the S&P 500 Index and a 1.96% return for the Barclays U.S. Aggregate Bond Index. The Blended Index, comprising approximately 17% equity and 83% fixed income and short-term bonds, returned 1.82%.

The Portfolio allocates its assets among two distinct components. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management, LLC, is benchmarked to the Russell 1000 Growth Index.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
420

Multi-Managed Income Portfolio Class 1 (unaudited) (continued)

The Portfolio component managed by Wellington Management Company LLP trailed its benchmark for the period. Sector allocations were the main detractor from relative performance during the period. The Portfolio's allocation to unhedged local currency emerging markets debt detracted the most from relative results. The Portfolio's allocation to high yield also detracted from relative performance. Partially offsetting these negative results was positive security selection within investment grade credit, particularly within industrials. The Portfolio's allocation to collateralized loan obligations within the asset-backed securities sector also aided relative results. Duration and yield curve positioning was also additive to relative performance. During the period, the Portfolio utilized currency forwards and interest rate swaps. Overall derivative positioning detracted from relative results.

The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was concentrated in stock selection within the health care and industrials sectors. Biogen, Inc. and Endo International PLC were among the leading detractors. The Portfolio continues to own Biogen, Inc., while Endo International PLC was exited. Stock selection within the telecommunication services and energy sectors contributed positively to relative results. Alphabet Inc. (formerly Google) and Amazon were among the Portfolio's top positive contributors.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
421

Asset Allocation: Diversified Growth Portfolio Class 1 (unaudited)

Investment Goal:	Capital appreciation
Manager:	Putnam Investment Management, LLC

Growth of a $10,000 Investment

  

Asset Allocation: Diversified Growth Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–4.69	%		–4.88	%		–5.00	%
5-Year		7.73	%		7.55	%		7.45	%
10-Year		5.62	%		5.46	%		5.35	%
Since Inception		5.50	%		4.11	%		6.99	%

* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02

¹ The S&P 500^® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.

² The Russell 3000^® Index measures the performance of the 3000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.

³ The Barclays U.S. Aggregate Bond Index combines several Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.

⁴ MSCI EAFE Index (net)⁸ (Europe, Australasia, Far East) captures large and mid cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The index covers approximately 84% of the free-float adjusted market capitalization in each country.

⁵ The Blended Index consists of 60% Russell 3000 Index, 15% Barclays U.S. Aggregate Bond Index, 15% MSCI EAFE Index (net), 5% JP Morgan Developed High Yield Index and 5% MSCI Emerging Markets Index (net).

⁶ The JP Morgan Developed High Yield Index is designed to mirror the investable universe of the US dollar developed high yield corporate debt market, including domestic and international issues. International issues are comprised of only developed market issues.

⁷ MSCI Emerging Markets Index (net)⁸ captures large and mid cap representation across 21 emerging market countries. The index covers approximately 84% of the free-float adjusted market capitalization in each country.

⁸ The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Asset Allocation: Diversified Growth Portfolio — Class 1

The Asset Allocation: Diversified Growth Portfolio — Class 1 shares posted a return of –4.69% for the 12-month period ending March 31, 2016, compared to a –0.34% return for the Russell 3000 Index and a –1.82% decline for the Blended Index.

Most asset classes delivered negative results with the exception of large cap U.S. equities and core fixed income holdings, which generated small positive returns. Security selection and active implementation decisions were both detractors and contributed to the relative underperformance.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
422

Asset Allocation: Diversified Growth Portfolio Class 1 (unaudited) (continued)

Overall asset allocation decisions detracted from performance over the 12-month period. An underweight to core fixed income holdings was one reason for underperformance as the asset class generated positive results over the period. An overweight to small cap growth was also a meaningful detractor as the asset class underperformed meaningfully. Most asset class allocations were kept relatively close to the Blended Index.

Security selection and active implementation was a primary driver of relative underperformance during the period. Large cap security selection was the most notable detractor though selection within core fixed income holdings also finished negative. Selection within emerging market equities, however, had a positive impact on the Portfolio.

On an absolute basis, positioning in equity market futures added value and had a positive impact on portfolio performance.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
423

Stock Portfolio Class 1 (unaudited)

Investment Goal:	Long-term capital appreciation, with a secondary objective of increasing dividend income
Manager:	T. Rowe Price Associates, Inc.

Growth of a $10,000 Investment

Stock Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–1.32	%		–1.51	%		–1.61	%
5-Year		11.74	%		11.57	%		11.47	%
10-Year		7.79	%		7.63	%		7.52	%
Since Inception		8.39	%		5.24	%		9.05	%

* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02

¹ The Russell 1000^® Growth Index consists of stocks with a greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Stock Portfolio — Class 1

The Stock Portfolio — Class 1 shares returned –1.32% for the 12-month period ending March 31, 2016, compared to a return of 2.52% for the Russell 1000 Growth Index.

Stock selection and sector allocation both drove relative underperformance during the period. Most notably, stock selection in health care and an underweight to consumer staples detracted from relative returns. On the positive side, stock selection in information technology contributed to relative results. Stock selection and an overweight to consumer discretionary also boosted relative performance.

Overall, stock selection weighed negatively on relative returns during the period. Of securities held during the period by the Portfolio, Valeant Pharmaceuticals International, Inc., Vipshop Holdings, Ltd., LinkedIn Corp., Morgan Stanley, and Biogen, Inc. detracted the most from relative results. On the contrary, Amazon.com, Inc., Alphabet, Inc. (formerly Google), Keurig Green Mountain, Inc., Intuitive Surgical, Inc., and an underweight to Apple, Inc. were the most significant contributors to relative performance.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
424

Large Cap Growth Portfolio Class 1 (unaudited)

Investment Goal:	Long-term growth of capital
Managers:	Goldman Sachs Asset Management, L.P. Janus Capital Management LLC SunAmerica Asset Management, LLC

Growth of a $10,000 Investment

Large Cap Growth Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–0.04	%		–0.20	%		–0.35	%
5-Year		11.62	%		11.46	%		11.35	%
10-Year		7.20	%		7.04	%		6.92	%
Since Inception		4.60	%		3.22	%		8.34	%

* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02

¹ The S&P 500^® Growth Index is constructed by measuring growth and value characteristics of the constituents of the S&P 500^® Index across six factors including: sales growth, earnings to price and momentum. The index is comprised of stocks identified as pure growth, plus a portion of the market capitalization of stocks that are neither classified as pure growth nor pure value. The style index series is unmanaged and market capitalization weighted.

² The Russell 1000^® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Large Cap Growth Portfolio — Class 1

The Large Cap Growth Portfolio — Class 1 shares returned –0.04% for the 12-month period ending March 31, 2016, compared to a 3.53% return for the S&P 500 Growth Index.

Approximately a third of the Portfolio is passively managed to match the performance of U.S. large cap growth stocks. The passively managed component utilizes index futures to "equitize" cash. Index futures are designed to provide returns equal to that of the Portfolio component's benchmark, and during the 12-months ended March 31, 2016, contributed positively to performance.

Within the Portfolio component managed by Janus Capital Management LLC, underperformance versus the benchmark was concentrated in the health care and industrials sectors. Stock selection within energy and telecom services contributed to relative results. Holdings Biogen, Inc. and Endo International were among the leading detractors from performance. Alphabet, Inc. (formerly Google) and Amazon.com, Inc. were the Portfolio's top contributors to performance.

Within the Portfolio component managed by Goldman Sachs Asset Management, L.P., underperformance compared to the benchmark was caused by stock selection in the health care and consumer staples sectors which detracted from returns. Stock selection in the consumer discretionary sector and an underweight to the energy sector contributed to performance. Key detractors from performance in the health care sector included McKesson Corp. and Vertex Pharmaceuticals, Inc., while detractors from performance within the consumer staples sector were Whole Foods Market, Inc. and Hain Celestial Group, Inc. Key contributors to performance in the consumer discretionary sector included Amazon.com, Inc. and Netflix, Inc.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
425

Large Cap Value Portfolio Class 1 (unaudited)

Investment Goal:	Long-term growth of capital
Managers:	American Century Investment Management, Inc. Wellington Management Company LLP SunAmerica Asset Management, LLC

Growth of a $10,000 Investment

  

Large Cap Value Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–3.19	%		–3.32	%		–3.42	%
5-Year		8.13	%		7.97	%		7.87	%
10-Year		5.68	%		5.53	%		5.42	%
Since Inception		5.96	%		5.67	%		7.77	%

* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02

¹ The S&P 500^® Value Index is constructed by measuring growth and value characteristics of the constituents of the S&P 500^® Index across six factors including: book value to price ratio, earnings to price ratio and sales to price ratio. The index is comprised of stocks identified as pure value, plus a portion of the market capitalization of stocks that are neither classified as pure growth nor pure value. The style index series is unmanaged and market capitalization weighted.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Large Cap Value Portfolio — Class 1

The Large Cap Value Portfolio — Class 1 shares returned –3.19% for the 12-month period ending March 31, 2016, compared to a -0.32% return for the S&P 500 Value Index.

Approximately a third of the Portfolio is passively managed to match the performance of U.S. large cap value stocks.

The Portfolio component managed by Wellington Management Company LLP trailed the S&P 500 Value Index for the period. Security selection detracted from relative performance, mainly driven by weak selection within the energy, industrials, and consumer discretionary sectors. These results were partially offset by stronger security selection within the information technology, consumer staples, and materials sectors. Sector allocation, which is a result of the bottom-up stock selection process, also detracted from relative performance during the period. The Portfolio's underweight positioning to the telecommunication services, utilities, and consumer staples sectors were the main detractors. An underweight position to energy, the weakest performing sector in the index for the year, partially offset negative results. The top relative contributors during the period included Microsoft, Ingredion, and BG Group. Additionally, not owning the weak performing benchmark constituent ConocoPhillips also aided relative results. Top detractors from relative performance included Marathon Oil, Southwestern Energy, and Marvell Technology Group.

The Portfolio component managed by T. Rowe Price Associates, Inc. changed sub-adviser to American Century Investment Management, Inc. effective October 26, 2015.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
426

Large Cap Value Portfolio Class 1 (unaudited) (continued)

From April 1, 2015 to October 25, 2015, the Portfolio component managed by T. Rowe Price Associates, Inc., trailed the S&P 500 Value Index for the period. Stock selection drove relative underperformance. Of securities held during the period, Kohl's, CONSOL Energy, Columbia Pipeline Group, Joy Global, and Applied Materials were among the most significant detractors from relative performance. On the positive side, Microsoft, Cablevision Systems, Vulcan Materials, NiSource, and an underweight to Wal-Mart Stores, were among the top contributors to relative results. Sector allocation weighed on relative performance for the period. Most notably, underweights in the consumer staples and financials sectors and overweight positions in the materials and consumer discretionary sectors detracted from relative results. On the positive side, underweights in the energy and health care sectors modestly contributed to relative results.

From October 26, 2015 to March 31, 2016, the Portfolio component managed by American Century Investment Management, Inc. trailed the Russell 1000 Value Index for the period. Weak stock selection in the financials, materials, and information technology sectors weighed on relative results. Additionally, the Portfolio's underweight positions in the utilities and consumer staples sectors, and its lack of exposure to the telecommunication services sector, detracted from results. Ameriprise Financial was one of the Portfolio's largest detractors. Western Digital was also a top detractor. Stock selection in the energy, industrials, consumer discretionary, utilities, and consumer staples sectors contributed positively to relative results. Applied Materials and Sysco were among the top positive contributors to performance.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
427

Mid Cap Growth Portfolio Class 1 (unaudited)

Investment Goal:	Long-term growth of capital
Managers:	T. Rowe Price Associates, Inc. Wellington Management Company LLP SunAmerica Asset Management, LLC

Growth of a $10,000 Investment

  

Mid Cap Growth Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–6.77	%		–6.87	%		–7.06	%
5-Year		8.16	%		8.01	%		7.89	%
10-Year		6.84	%		6.68	%		6.57	%
Since Inception		8.15	%		5.62	%		10.21	%

* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02

¹ Russell Midcap^® Growth Index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Mid Cap Growth Portfolio — Class 1

The Mid Cap Growth Portfolio — Class 1 shares returned –6.77% for the 12-month period ending March 31, 2016, compared to a –4.75% return for the Russell Midcap Growth Index.

Approximately a third of the Portfolio is passively managed to match the performance of U.S. mid cap growth stocks.

Within the Portfolio component managed by T.Rowe Price Associates, Inc., stock selection drove relative outperformance for the period. Of the securities held during the period by the Portfolio, Netflix, Inc., Synageva BioPharma Corp., Vantiv, Inc., Fiserv, Inc., and O'Reilly Automotive, Inc. were the most significant contributors to relative results. On the negative side, Twitter, Inc., LinkedIn Corp., Endo International PLC, Vipshop Holdings, Ltd., and Sensata Technologies Holding NV detracted most from relative returns. Sector allocation detracted from relative performance for the period. An overweight position in energy hindered relative results. An underweight position in consumer staples also weighed on returns.

Within the Portfolio component managed by Wellington Management Company LLP, both security selection and sector allocation detracted from relative performance. Weak selection in the consumer staples, information technology, and industrials sectors detracted most from relative performance during the period. Partially offsetting these negative results was stronger security selection in the health care and consumer discretionary sectors. Sector allocation, a result of the bottom-up stock selection process, also detracted from relative results during the period. This was due to an overweight allocation to the health care and information technology sectors. Underweight positioning in consumer staples also detracted from relative results. Top detractors from relative performance included Nomad Foods, Ltd., Platform Specialty Corp, and Digital Globe, Inc.. The top relative contributors during the period were Netflix, Inc., Ono Pharmaceutical Co., Ltd., and DexCom, Inc. Positions in Digital Globe and Netflix were eliminated during the period.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
428

Mid Cap Value Portfolio Class 1 (unaudited)

Investment Goal:	Long-term growth of capital
Managers:	Goldman Sachs Asset Management, L.P. Massachusetts Financial Services Company SunAmerica Asset Management, LLC

Growth of a $10,000 Investment

  

Mid Cap Value Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–5.94	%		–6.12	%		–6.18	%
5-Year		8.27	%		8.12	%		8.01	%
10-Year		5.87	%		5.71	%		5.61	%
Since Inception		9.28	%		8.74	%		9.38	%

* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02

¹ Russell Midcap^® Value Index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Mid Cap Value Portfolio — Class 1

The Mid Cap Value Portfolio — Class 1 shares returned –5.94% for the 12-month period ending March 31, 2016, compared to a –3.39% return for the Russell Midcap Value Index.

Approximately a third of the Portfolio is passively managed to match the performance of U.S. mid cap value equities.

The Portfolio component managed by Massachusetts Financial Services Company outperformed the benchmark for the period. An overweight in the consumer staples sector benefited performance relative to the benchmark. Positions in Newell Rubbermaid, Inc. and Ingredion, Inc. contributed to relative results. Stock selection in the financials and energy sectors further supported relative performance. Positions in Nasdaq, Inc., HCC Insurance Holdings, and Symetra Financial contributed to relative results. Elsewhere, positions in Ingram Micro, Inc., Class A, Valspar, LKQ Corp. and Sabre Corp. helped relative returns. The Portfolio's position in Urban Outfitters, Inc. further benefited relative results. Conversely, a combination of stock selection and an underweight position in the utilities & communications sector hurt relative performance. Holdings of Dynegy, Inc. and NRG Energy, Inc. detracted from relative returns. Among the Portfolio's top relative detractors included Endo International PLC, SM Energy Co., Energen, Bed, Bath & Beyond, SPX Corp. and CONSOL Energy, Inc. Holdings of BorgWarner Auto, Inc. and Memorial Resource Development further weighed on relative results.

The Portfolio component managed by Goldman Sachs Asset Management, L.P. trailed its benchmark for the period. Stock selection in the financials and utilities sectors detracted from returns, while investments in the energy and consumer staples sectors contributed to performance. Key detractors from performance in the financials sector included Lincoln National Corp. and Navient Corp., while key detractors from performance within the utilities sector were NRG Energy, Inc. and PPL, Inc.. Key contributors to performance in the energy sector included Cheniere Energy, Inc. and Newfield Exploration Co., while key contributors to performance within the consumer staples sector included Tyson Foods and ConAgra Foods.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
429

Small Cap Portfolio Class 1 (unaudited)

Investment Goal:	Long-term growth of capital
Managers:	SunAmerica Asset Management, LLC PNC Capital Advisors, LLC J.P. Morgan Investment Management Inc.

Growth of a $10,000 Investment

  

Small Cap Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–9.43	%		–9.61	%		–9.70	%
5-Year		5.68	%		5.51	%		5.41	%
10-Year		4.28	%		4.12	%		4.02	%
Since Inception		4.37	%		3.03	%		7.27	%

* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02

¹ Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000^® Index.

² The Russell 2000^® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. Companies in this index tend to exhibit lower price-to-book ratios and lower forecasted growth values.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Small Cap Portfolio — Class 1

The Small Cap Portfolio — Class 1 shares returned –9.43% for the 12-months ended March 31, 2016, compared to a –9.76% return for the Russell 2000 Index.

Approximately a third of the Portfolio is passively managed to match the performance of broad U.S. small cap equities.

Within the Portfolio component managed by J.P. Morgan Investment Management, Inc., the Portfolio outperformed its benchmark for the period, largely due to positive stock selection in the health services & systems and media industries. At the stock level, an overweight position in media company Take-Two Interactive Software, Inc. was a top contributor to performance. Within the software & services industry, a position in Rovi Corp. contributed to performance. Alternatively, performance was hurt by stock selection in the pharmaceutical and consumer cyclical industries. At the stock level, software & services company Unisys Corp. and the consumer cyclical firm Iconix Brand Group were among the top detractors.

The Portfolio component managed by ClearBridge Advisors, LLC changed subadviser to PNC Capital Advisors, LLC effective December 21, 2015.

From April 1, 2015 to December 20, 2015, the Portfolio component managed by ClearBridge Advisors, LLC performed in-line with its benchmark. Stock selection in the financials and energy sectors were the top contributors to relative performance. Stock selection in the consumer discretionary and information technology sectors detracted the most from relative performance. The Portfolio's overweight allocation in the materials sector and underweight in the financials and health care sectors detracted the most from relative performance. The overweight allocation in the information technology contributed the most to relative performance. During the period, the five strongest performing stocks in the Portfolio, in terms of total absolute contribution to return, were Rudolph Technologies, Inc., Digi International, Inc., Signature Bank, First Republic Bank and BankUnited, Inc. The five largest detractors were Horsehead Holding Corp., Harsco Corp., Pier 1 Imports, Inc., Affiliated Managers Group, Inc., and GNC Holdings, Inc.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
430

Small Cap Portfolio Class 1 (unaudited) (continued)

From December 21, 2015 to March 31, 2016, the Portfolio component managed by PNC Capital Advisors, LLC trailed its benchmark. Stock selection contributed negatively to performance, concentrated in the financials and information technology sectors. Sector allocations contributed positively to performance, primarily due to an underweight in the health care sector. The top contributors to performance in the Portfolio during the period were Wesco Aircraft Holdings, World Fuel Services Corp., Dorman Products, Inc., RLI Corp. and Monro Muffler Brake, Inc. The top detractors to performance during the period were OSI Systems, Inc., AmTrust Financial Services, Inc., Tyler Technologies, Inc., Bank of the Ozarks, Inc., and Credit Acceptance Corp.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
431

International Equity Portfolio Class 1 (unaudited)

Investment Goal:	Long-term growth of capital
Managers:	T. Rowe Price Associates, Inc. Janus Capital Management, LLC SunAmerica Asset Management, LLC

Growth of a $10,000 Investment

  

International Equity Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–9.94	%		–10.09	%		–10.21	%
5-Year		0.79	%		0.63	%		0.51	%
10-Year		0.63	%		0.48	%		0.38	%
Since Inception		1.42	%		0.76	%		5.28	%

* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02

¹ The MSCI EAFE Index (net)² (Europe, Australasia, Far East) captures large and mid-cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The Index covers approximately 84% of the free-float adjusted market capitalization in each country.

² The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

International Equity Portfolio — Class 1

The International Equity Portfolio — Class 1 shares returned –9.94% for the 12-month period ending March 31, 2016, compared to a –8.27% return for the MSCI EAFE Index (net).

Approximately a third of the Portfolio is passively managed to match the performance of the broad non-U.S. equity market.

The Portfolio component managed by T.Rowe Price Associates, Inc. underperformed the benchmark. Sector allocation detracted the most from relative performance. Most notably, an underweight to consumer staples and overweight to financials proved detrimental. On the positive side, an underweight to materials supported relative returns. Stock selection was slightly negative. Of securities held by the Portfolio during the period, Volkswagen AG, AP Moeller-Maersk A/S, Bayer AG, DNB ASA, and Rolls-Royce Holdings PLC were among the largest relative detractors. On the positive side, Nippon Telegraph & Telephone Corp., DCC PLC, Fresenius SE & Co. KGaA, Direct Line Insurance Group PLC, and Broadcom, Ltd. were among the most significant contributors to relative performance. Country selection detracted from relative performance for the period. Germany, Switzerland, Denmark, France, and the Netherlands weighed the most on relative returns. On the positive side, the UK, the U.S., Spain, Taiwan, and India supported relative results.

The Portfolio component managed by Janus Capital Management, LLC underperformed the benchmark. Relative underperformance was attributed to the Portfolio's holdings in the consumer discretionary and materials sectors. Stock selection in telecommunications services and information technology contributed to relative results. On a geographical basis, holdings in Japan and Germany weighed on relative results, while selection of stocks in the UK and overweight exposure to China contributed to results. The top contributor for the period was Nippon Telegraph & Telephone Corp., a Japanese telecommunications company, followed by Japanese real estate company Ichigo. Japan-based Sumco, one of the largest manufacturers of silicon wafers used in the semiconductor industry, detracted from performance, as did European auto manufacturer Volkswagen.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
432

Diversified Fixed Income Portfolio Class 1 (unaudited)

Investment Goal:	Relatively high current income and secondarily capital appreciation
Managers:	PineBridge Investments LLC Wellington Management Company LLP

Growth of a $10,000 Investment

  

Diversified Fixed Income Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		1.15	%		1.05	%		0.83	%
5-Year		3.36	%		3.20	%		3.08	%
10-Year		4.41	%		4.26	%		4.15	%
Since Inception		4.17	%		4.20	%		3.69	%

* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02

¹ The Barclays U.S. Aggregate Bond Index combines several Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.

² The Barclays U.S. Government Index is comprised of the U.S. Treasury and U.S. Agency Indices. The U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government).

³ The Barclays U.S. Corporate IG Index measures publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered.

⁴ The Barclays U.S. Agency Fixed Rate MBS Index covers agency fixed-rate mortgage-backed pass-through securities (MBS) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).

⁵ The Barclays CMBS ERISA Eligible Index has been designed to measure the performance of the commercial mortgage-backed securities (CMBS) market.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Diversified Fixed Income Portfolio — Class 1

The Diversified Fixed Income Portfolio — Class 1 shares returned 1.15% for the 12-month period ending March 31, 2016, compared to a 1.96% return for the Barclays U.S. Aggregate Bond Index.

Approximately a fourth of the Portfolio is passively managed to match the performance of the broad U.S. government bond market.

Within the Portfolio component actively managed by PineBridge Investments, LLC, an average allocation of 10.9% to high yield over the course of the year negatively impacted performance versus the Barclays U.S. Aggregate Bond benchmark. An underweight allocation to investment grade credit versus the benchmark benefitted performance. Security selection within investment grade credit detracted from results, particularly selections within the energy sector. Within securitized, security selection detracted from performance over the course of the 12-month period.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
433

Diversified Fixed Income Portfolio Class 1 (unaudited) (continued)

Within the Portfolio component managed by Wellington Management Company LLP, allocation to emerging markets debt and exposure to high yield detracted from performance. The Portfolio held an allocation to unhedged local currency emerging markets debt during the period which detracted the most from relative results. Partially offsetting the negative results from sector allocation was favorable security selection with investment grade credit, particularly within industrials. Duration and yield curve positioning was also additive to performance. Overall derivative positioning detracted modestly from performance during the period. Positive returns from holding interest rate futures were more than offset by the portfolio's credit default swaps positioning.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
434

Real Return Portfolio Class 3 (unaudited)

Investment Goal:	Total return that equals or exceeds the rate of inflation over the long term, consistent with prudent investment management.
Manager:	Wellington Management Company LLP

Growth of a $10,000 Investment

  

Real Return Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 3*
1-Year		0.24	%		0.07	%
5-Year		N/A			1.08	%
10-Year		N/A			2.56	%
Since Inception		0.40	%		2.64	%

* Inception date for Class 1: 01/23/12; Class 3: 02/14/05

¹ The Barclays World Government Inflation Linked 1-10 year Index (Hedged to USD) measures the performance of the major government inflation-linked bond markets. This index includes securities with maturities greater than one year but less than 10 years and is hedged to the US Dollar.

² The Barclays 1-10 Year U.S. Treasury Inflation Protected Securities (TIPS) Index measures the performance of inflation protected securities issued by the US Treasury with maturities greater than one year but less than 10 years.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Real Return Portfolio — Class 3

The Real Return Portfolio — Class 3 shares returned 0.07% for the 12-month period ending March 31, 2016, compared to a 0.99% return for the Barclays World Government Inflation Linked 1-10 Year Index (Hedged), and a 1.84% return for the Barclays 1-10 Year U.S. Treasury Inflation Protected Securities (TIPS) Index.

The Portfolio's underweight position to Italian linkers detracted most from relative performance during the year. The Portfolio's lack of exposure to Japan and underweight position to France partially offset negative results. Within U.S. TIPS, performance relative to the benchmark was negative. The Portfolio's long 10-year breakeven position contributed positively to results, but this was offset by the Portfolio's short 5-year breakeven position. Overall, the Portfolio's interest rate positioning contributed modestly to benchmark-relative results.

The Portfolio hedges foreign currency exposure through the use of currency forwards. Overall, when currency forwards are combined with bonds, the impact of currency was insignificant for the period. Viewed in isolation, the impact of the currency forwards was negative in absolute terms.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
435

SA Columbia Focused Growth Portfolio Class 1 (unaudited)

Investment Goal:	Long-term growth of capital
Manager:	Columbia Management Investment Advisers, LLC

Growth of a $10,000 Investment

  

SA Columbia Focused Growth Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–11.42	%		–11.59	%		–11.61	%
5-Year		4.65	%		4.50	%		4.39	%
10-Year		4.91	%		4.75	%		4.65	%
Since Inception		2.48	%		3.12	%		7.04	%

* Inception date for Class 1: 07/05/00; Class 2: 10/16/00; Class 3: 11/11/02

¹ The Russell 1000^® Growth Index measures the performance of those Russell 1000 companies with a greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.

² The Russell 3000^® Growth Index measures the performance of those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

SA Columbia Focused Growth Portfolio — Class 1

The SA Columbia Focused Growth Portfolio — Class 1 shares returned –11.42% for the 12-month period ending March 31, 2016, compared to a 2.52% return for the Russell 1000 Growth Index and a 1.34% return for the Russell 3000 Growth Index.

The Portfolio components managed by Janus Capital Management, LLC and Marsico Capital Management LLC both changed subadviser to Columbia Management Investment Advisers, LLC effective July 29, 2015. The Portfolio's benchmark changed to the Russell 1000 Growth Index. The primary benchmark for the Portfolio was changed to better reflect the investment universe of the new subadviser.

From April 1, 2015 to July 28, 2015, the Portfolio component managed by Janus Capital Management, LLC outperformed its benchmark, the Russell 3000 Growth Index. Stock selection in the information technology and consumer discretionary sectors contributed to relative performance. Lack of exposure to the material and energy sectors also contributed to relative results. Holdings in the industrials and health care sectors detracted from relative performance. The largest contributors to performance during the period include Alphabet, Inc. (formerly known as Google), Gildan Activewear Inc., and MasterCard Inc. The leading detractors from performance include Canadian Pacific Railway, Ltd., ARM Holdings PLC, and United Continental Holdings, Inc.

From April 1, 2015 to July 28, 2015, the Portfolio component managed by Marsico Capital Management LLC outperformed its benchmark, the Russell 3000 Growth Index. The primary source of outperformance for the Portfolio was stock selection in the information technology and consumer discretionary sectors. In addition, performance results were amplified by the Portfolio's overweight to the strong-performing information technology sector and underweight to industrials and materials, two of the weakest-performing sectors in the benchmark index. On an individual stock level, positions in Facebook, Inc., HCA Holdings, Inc., Electronic Arts Inc., Time Warner Cable, Inc. and Allergan PLC were the largest contributors. Performance results were offset somewhat by stock selection in the health care sector and specifically within the pharmaceuticals biotechnology and life sciences industry group. The largest individual detractors were Biogen, Inc., LinkedIn Corp. and Canadian Pacific Railway, Ltd., all of which were sold in the period, as well as Alibaba Group Holding Ltd., ADR and Alphabet, Inc.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
436

SA Columbia Focused Growth Portfolio Class 1 (unaudited) (continued)

From July 29, 2015 to March 31, 2016, the Portfolio managed by Columbia Management Investment Advisers, LLC trailed its benchmark, the Russell 1000 Growth Index. The Portfolio's overweight to the lagging health care sector and underweights to the rallying consumer staples and telecommunication services sectors weighed on relative results. The bulk of underperformance for the Portfolio occurred in the information technology and health care sectors. These areas of underperformance overshadowed positive results in the consumer discretionary sector. In the information technology sector, professional social networking firm LinkedIn Corp. and wearable fitness tracking device manufacturer Fitbit, Inc. were the most notable detractors. Software positions also detracted from returns. Within the health care sector, the Portfolio was hurt by its exposure to the biotechnology industry. The strategy's positions in Vertex Pharmaceuticals, Inc., Intercept Pharmaceuticals, Inc., Biogen, Inc., Alexion Pharmaceuticals, Inc. and Celgene Corp. all sold off during the period and were relative detractors. In terms of positives, the Portfolio fared well in the consumer discretionary sector with positions in online travel booking site Priceline Group, Inc. and online retailer Amazon.com, Inc. posting solid returns.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
437

SA Columbia Focused Value Portfolio Class 2 (unaudited)

Investment Goal:	Long-term growth of capital
Manager:	Columbia Management Investment Advisers, LLC

Growth of a $10,000 Investment

  

SA Columbia Focused Value Portfolio
Average Annual Total Returns as of 03/31/16

	Class 1*			Class 2*			Class 3*
1-Year		–4.81	%		–4.99	%		–5.07	%
5-Year		N/A			5.87	%		5.77	%
10-Year		N/A			5.07	%		4.97	%
Since Inception		10.33	%		7.60	%		8.82	%

* Inception date for Class 1: 01/23/12; Class 2: 10/01/01; Class 3: 11/11/02

¹ The Russell 1000^® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

² The Russell 3000^® Value Index is an unmanaged index of common stock prices that measures the performance of those Russell 3000 companies with lower price-to-book ratios and lower forecasted growth values.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

SA Columbia Focused Value Portfolio — Class 2

The SA Columbia Focused Value Portfolio — Class 2 shares returned –4.99% for the 12-month period ending March 31, 2016, compared to a return of –1.54% for the Russell 1000 Value Index and a return of –2.05% for the Russell 3000 Value Index.

The Portfolio components managed by J.P. Morgan Investment Management, Inc. and Northern Trust Investments, Inc. both changed subadviser to Columbia Management Investment Advisers, LLC effective July 29, 2015. The Portfolio's benchmark changed to the Russell 1000 Value Index. The primary benchmark for the Portfolio was changed to better reflect the investment universe of the new subadviser.

From April 1, 2015 to July 28, 2015, the Portfolio component managed by J.P. Morgan Investment Management, Inc. trailed its benchmark, the Russell 3000 Value Index. For the period, the energy sector was a top contributor to performance. There was positive contribution from both being underweight the sector and stock selection. Positive stock selection was driven by a position in Exxon Mobil Corp. as the company's shares decreased less than the overall energy sector of the benchmark. The consumer discretionary sector was the largest detractor from performance as stock selection and sector allocation were both weak. Kohl's Corp. was the top individual detractor from performance as shares were down over 20%.

From April 1, 2015 to July 28, 2015, the Portfolio component managed by Northern Trust Investments, Inc. outperformed its benchmark, the Russell 1000 Value Index. Sector selection positively impacted relative return during the year. Overweight positions within the financials and telecommunication sectors and underweight positions within the energy, materials and utilities sectors had the most significant positive impacts on Portfolio returns relative to the benchmark. Notable sector weighting detractors included an overweight position in the consumer discretionary sector and an underweight position in the consumer staples sector. Stock selection positively impacted relative returns during the period. Investments that positively contributed to relative performance came primarily from the financial sector, with the most significant contributors including MetLife, Inc., PartnerRe, Ltd., and JPMorgan Chase & Co. Investments that detracted from relative performance included Siemens AG and General Motors Co.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
438

SA Columbia Focused Value Portfolio Class 2 (unaudited) (continued)

From July 29, 2015 to March 31, 2016, the Portfolio managed by Columbia Management Investment Advisers, LLC trailed its benchmark, the Russell 1000 Value Index. Sector allocation, which is driven by bottom-up Portfolio construction, helped relative performance. Particularly beneficial were an underweight in financials and an overweight in consumer staples, and to a lesser extent, underweights in consumer discretionary and health care and an overweight in telecommunication services. Overall security selection, particularly in the energy and financials sectors, detracted from relative results. Positive contributions from names including Tyson Foods, Inc., Applied Materials, Inc., NextEra Energy, Inc., Verizon Communications, Inc. and Philip Morris International, Inc. were more than offset by weaker results from energy and financial stocks, including Williams Cos., Inc., Morgan Stanley, Citigroup, Inc., Bank of America Corp. and Anadarko Petroleum Corp.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
439

Allocation Growth Portfolio Class 3 (unaudited)

Investment Goal:	Long-term capital appreciation
Manager:	SunAmerica Asset Management, LLC

Growth of a $10,000 Investment

  

Allocation Growth Portfolio
Average Annual Total Returns as of 03/31/16

	Class 3*
1-Year		–4.78	%
5-Year		5.34	%
10-Year		3.78	%
Since Inception		4.69	%

* Inception date for Class 3: 02/14/05

¹ The S&P 500^® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.

² The Barclays U.S. Aggregate Bond Index combines several Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.

³ The Blended Index consists of 57% Russell 3000^® Index, 23% MSCI EAFE Index (net) and 20% Barclays U.S. Aggregate Bond Index.

⁴ The Russell 3000^® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.

⁵ MSCI EAFE Index (net)⁶ (Europe, Australasia, Far East) captures large and mid cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The index covers approximately 84% of the free-float adjusted market capitalization in each country.

⁶ The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Allocation Growth Portfolio — Class 3

The Allocation Growth Portfolio — Class 3 shares posted a return of –4.78% for the 12-month period ending March 31, 2016, compared to a 1.78% return for the S&P 500 Index, a –0.34% return for the Russell 3000 Index, a 1.89% return for the blended index of 90% S&P 500 Index and 10% Barclays U.S. Aggregate Bond Index, and a –1.57% return for the Blended Index of 57% Russell 3000 Index, 23% MSCI EAFE Index, and 20% Barclays U.S. Aggregate Bond Index.

Effective July 29, 2015, Ibbotson Associates, Inc. ceased to subadvise the Portfolio. In addition, the Portfolio replaced the S&P 500^® Index with the Russell 3000^® Index and added the MSCI EAFE Index (net). The Portfolio also added a new Blended Index that consists of 57% Russell 3000^® Index, 23% MSCI EAFE Index (net) and 20% Barclays U.S. Aggregate Bond Index. The benchmark for equities was changed to better represent the equity securities held in the Portfolio. The Blended Index was changed to better reflect the new target allocations as of July 29, 2015.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
440

Allocation Growth Portfolio Class 3 (unaudited) (continued)

From April 1, 2015 to July 28, 2015, the Portfolio underperformed the 90% S&P 500 and 10% Barclays U.S. Aggregate Bond benchmark. This performance can be attributed to four factors: strategic asset class allocations, tactical asset class allocations, and fund specific performance. Strategic asset class decisions detracted from performance, driven by a value tilt, exposure to smaller capitalization stocks, and international equity exposure. Mid Cap Value and Small Cap Value were the largest detractors to performance. Large Cap Growth was the only equity asset class in the program that outperformed the S&P 500. The fixed income positioning had no impact, as the Portfolio contained the same small 10% exposure to aggregate bonds as the benchmark. Tactical asset class allocation contributed slightly to performance. Fund specific performance detracted from overall performance. The Trust's Mid Cap Growth Portfolio had the strongest benchmark relative performance, while the Trust's Mid Cap Value Portfolio, SA Columbia Focused Growth Portfolio, and SA Columbia Focused Value Portfolio performed in line with their benchmarks. All other funds on the platform underperformed their stated benchmarks. Most notable underperformance was Multi-Managed Growth Portfolio. Within fixed income, the Trust's Diversified Fixed Income fell short of its benchmark and was a small drag on overall performance.

From July 28, 2015 to March 31, 2016, the Portfolio underperformed the Blended Index of 57% Russell 3000 Index, 23% MSCI EAFE Index, and 20% Barclays U.S. Aggregate Bond Index. The Portfolio's overall asset allocation relative to the benchmark was a negative contributor primarily due to an overweight to international equities. Exposure to large-cap U.S. equity underlying funds was neutral while exposure to small- and mid-cap U.S. equities held back returns relative to the Russell 3000 Index. Within fixed income, positions in high yield and inflation-protected securities held back returns relative to the Barclays U.S. Aggregate Bond Index. Fund specific performance was the primary detractor from overall performance as that the underlying funds in aggregate underperformed their fund-specific benchmarks. This was true of both equity and fixed income underlying funds. Within equities, the SA Columbia Focused Growth Portfolio significantly underperformed its index. Within fixed income, the Diversified Fixed Income Portfolio was the primary detractor due to its large weight in the Portfolio.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
441

Allocation Moderate Growth Portfolio Class 3 (unaudited)

Investment Goal:	Long-term capital appreciation
Manager:	SunAmerica Asset Management, LLC

Growth of a $10,000 Investment

  

Allocation Moderate Growth Portfolio
Average Annual Total Returns as of 03/31/16

	Class 3*
1-Year		–3.72	%
5-Year		4.87	%
10-Year		3.67	%
Since Inception		4.39	%

* Inception date for Class 3: 02/14/05

¹ The S&P 500^® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.

² The Barclays U.S. Aggregate Bond Index combines several Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.

³ The Blended Index consists of 47% Russell 3000^® Index, 18% MSCI EAFE Index (net) and 35% Barclays U.S. Aggregate Bond Index.

⁴ The Russell 3000^® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.

⁵ MSCI EAFE Index (net)⁶ (Europe, Australasia, Far East) captures large and mid cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The index covers approximately 84% of the free-float adjusted market capitalization in each country.

⁶ The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Allocation Moderate Growth Portfolio — Class 3

The Allocation Moderate Growth Portfolio — Class 3 shares posted a return of –3.72% for the 12-month period ending March 31, 2016, compared to a 1.78% return for the S&P 500 Index, a –0.34% return for the Russell 3000 Index, a 2.04% return for the blended index of 70% S&P 500 Index and 30% Barclays U.S. Aggregate Bond Index, and a –0.76% return for the Blended Index of 47% Russell 3000 Index, 18% MSCI EAFE Index, and 35% Barclays U.S. Aggregate Bond Index.

Effective July 29, 2015, Ibbotson Associates, Inc. ceased to subadvise the Portfolio. In addition, the Portfolio replaced the S&P 500 Index with the Russell 3000 Index and added the MSCI EAFE Index (net). The Portfolio also added a new Blended Index that consists of 47% Russell 3000 Index, 18% MSCI EAFE Index (net) and 35% Barclays U.S. Aggregate Bond Index. The benchmark for equities was changed to better represent the equity securities held in the Portfolio. The Blended Index was changed to better reflect the new target allocations as of July 29, 2015.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
442

Allocation Moderate Growth Portfolio Class 3 (unaudited) (continued)

From April 1, 2015 to July 28, 2015, the Portfolio underperformed the 70% S&P 500 and 30% Barclays U.S. Aggregate Bond benchmark. This performance can be attributed to four factors: strategic asset class allocations, tactical asset class allocations, and fund specific performance. Strategic asset class decisions detracted from performance, driven by a value tilt, exposure to smaller capitalization stocks, and international equity exposure. Mid cap value and small cap value were the largest detractors to performance. Large cap growth was the only equity asset class in the program that outperformed the S&P 500. Within fixed income, diversification helped performance. TIPS served to boost relative performance, posting positive returns in excess of the Barclays US Aggregate Bond Index. Tactical asset class allocation contributed slightly to performance. Fund specific performance detracted from overall performance. The Trust's Mid Cap Growth Portfolio had the strongest benchmark relative performance, while the Trust's Mid Cap Value Portfolio, SA Columbia Focused Growth Portfolio, and SA Columbia Focused Value Portfolio performed in line with their benchmarks. All other funds on the platform underperformed their stated benchmarks. Most notable underperformance was Multi-Managed Moderate Growth Portfolio. Within fixed income, the Trust's Diversified Fixed Income Portfolio and the Trust's Real Return Portfolio both fell short of their benchmarks and were a small drag on overall performance.

From July 28, 2015 to March 31, 2016, the Portfolio underperformed the Blended Index of 47% Russell 3000 Index, 18% MSCI EAFE Index, and 35% Barclays U.S. Aggregate Bond Index. The Portfolio's overall asset allocation relative to the benchmark detracted from performance primarily due to an overweight to international. Within equities, exposure to large-cap U.S. equity underlying funds was neutral while exposure to small- and mid-cap U.S. equities held back returns relative to the Russell 3000 Index. Within fixed income, positions in high yield and inflation-protected securities held back returns relative to the Barclays U.S. Aggregate Bond Index. Fund specific performance was the primary detractor from overall performance as underlying funds in aggregate underperformed their fund-specific benchmarks. This was true of both equity and fixed income underlying funds. Within equities, the SA Columbia Focused Growth Portfolio significantly underperformed its index. Within fixed income, the Diversified Fixed Income Portfolio was the primary detractor due to its large weight in the Portfolio.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
443

Allocation Moderate Portfolio Class 3 (unaudited)

Investment Goal:	Long-term capital appreciation and moderate current income
Manager:	SunAmerica Asset Management, LLC

Growth of a $10,000 Investment

  

Allocation Moderate Portfolio
Average Annual Total Returns as of 03/31/16

	Class 3*
1-Year		–3.02	%
5-Year		4.72	%
10-Year		4.00	%
Since Inception		4.50	%

* Inception date for Class 3: 02/14/05

¹ The S&P 500^® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.

² The Barclays U.S. Aggregate Bond Index combines several Barclays Capital fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.

³ The Blended Index consists of (41% Russell 3000^® Index, 14% MSCI EAFE Index (net)) and 45% Barclays U.S. Aggregate Bond Index.

⁴ The Russell 3000^® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.

⁵ MSCI EAFE Index (net)⁶ (Europe, Australasia, Far East) captures large and mid cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The index covers approximately 84% of the free-float adjusted market capitalization in each country.

⁶ The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Allocation Moderate Portfolio — Class 3

The Allocation Moderate Portfolio — Class 3 shares posted a return of –3.02% for the 12-month period ending March 31, 2016, compared to a 1.78% return for the S&P 500 Index, a –0.34% return for the Russell 3000 Index, a 2.09% return for the blended index of 60% S&P 500 Index and 40% Barclays U.S. Aggregate Bond Index, and a –0.19% return for the Blended Index of 41% Russell 3000 Index, 14% MSCI EAFE Index, and 45% Barclays U.S. Aggregate Bond Index.

Effective July 29, 2015, Ibbotson Associates, Inc. ceased to subadvise the Portfolio. In addition, the Portfolio replaced the S&P 500 Index with the Russell 3000 Index and added the MSCI EAFE Index (net). The Portfolio also added a new Blended Index that consists of 41% Russell 3000^® Index, 14% MSCI EAFE Index (net) and 45% Barclays U.S. Aggregate Bond Index. The benchmark for equities was changed to better represent the equity securities held in the Portfolio. The Blended Index was changed to better reflect the new target allocations as of July 29, 2015.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
444

Allocation Moderate Portfolio Class 3 (unaudited) (continued)

From April 1, 2015 to July 28, 2015, the Portfolio underperformed the 60% S&P 500 and 40% Barclays U.S. Aggregate Bond benchmark. This performance can be attributed to four factors: strategic asset class allocations, tactical asset class allocations, and fund specific performance. Strategic asset class decisions detracted from performance, driven by a value tilt, exposure to smaller capitalization stocks, and international equity exposure. Mid Cap Value and Small Cap Value were the largest detractors to performance. Large Cap Growth was the only equity asset class in the program that outperformed the S&P 500. Within fixed income, diversification helped performance. Both TIPS and cash served to boost relative performance, posting positive returns in excess of the Barclays US Aggregate Bond Index. Tactical asset class allocation contributed slightly to performance. Fund specific performance detracted from overall performance. The Trust's Mid Cap Growth Portfolio had the strongest benchmark relative performance, while the Trust's Mid Cap Value Portfolio, SA Columbia Focused Growth Portfolio, and SA Columbia Focused Value Portfolio performed in line with their benchmarks. All other funds on the platform underperformed their stated benchmarks. Most notable underperformance was the Trust's Multi-Managed Income/Equity Portfolio. Within fixed income, the Trust's Diversified Fixed Income Portfolio and Real Return Portfolio both fell short of their benchmarks and were a small drag on overall performance.

From July 28, 2015 to March 31, 2016, the Portfolio underperformed the Blended Index of 41% Russell 3000 Index, 14% MSCI EAFE Index, and 45% Barclays U.S. Aggregate Bond Index. The Portfolio's overall asset allocation relative to the benchmark hurt performance primarily due to an overweight to international equities and underweight to fixed income. Within equities, exposure to large-cap U.S. equity underlying funds was neutral while exposure to small- and mid-cap U.S. equities held back returns relative to the Russell 3000 Index. Within fixed income, positions in high yield and inflation-protected securities held back returns relative to the Barclays U.S. Aggregate Bond Index. Fund specific performance was the primary detractor from overall performance as underlying funds in aggregate underperformed their fund-specific benchmarks. This was true of both equity and fixed income underlying funds. Within equities, the SA Columbia Focused Growth Portfolio significantly underperformed its index. Within fixed income, the Diversified Fixed Income Portfolio was the primary detractor due to its large weight in the Portfolio.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
445

Allocation Balanced Portfolio Class 3 (unaudited)

Investment Goal:	Long-term capital appreciation and current income
Manager:	SunAmerica Asset Management, LLC

Growth of a $10,000 Investment

  

Allocation Balanced Portfolio
Average Annual Total Returns as of 03/31/16

	Class 3*
1-Year		–1.90	%
5-Year		4.82	%
10-Year		4.26	%
Since Inception		4.52	%

* Inception date for Class 3: 02/14/05

¹ The S&P 500^® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.

² The Barclays U.S. Aggregate Bond Index combines several Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.

³ The Blended Index consists of 30% Russell 3000^® Index, 10% MSCI EAFE Index (net) & 60% Barclays U.S. Aggregate Bond Index.

⁴ The Russell 3000^® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.

⁵ MSCI EAFE Index (net)⁶ (Europe, Australasia, Far East) captures large and mid cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The index covers approximately 84% of the free-float adjusted market capitalization in each country.

⁶ The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.

Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.

Allocation Balanced Portfolio — Class 3

The Allocation Balanced Portfolio — Class 3 shares posted a return of –1.90% for the 12-month period ending March 31, 2016, compared to a 1.78% return for the S&P 500 Index, a –0.34% return for the Russell 3000 Index, a 1.96% return for the Barclays U.S. Aggregate Bond Index, a 2.12% return for the blended benchmark of 50% S&P 500 Index and 50% Barclays U.S. Aggregate Bond Index, and a 0.47% return for the Blended Index of 30% Russell 3000 Index, 10% MSCI EAFE Index, and 60% Barclays U.S. Aggregate Bond Index.

Effective July 29, 2015, Ibbotson Associates, Inc. ceased to subadvise the Portfolio. In addition, the Portfolio replaced the S&P 500 Index with the Russell 3000 Index and added the MSCI EAFE Index (net). The Portfolio also added a new Blended Index that consists of 30% Russell 3000 Index, 10% MSCI EAFE Index (net) and 60% Barclays U.S. Aggregate Bond Index. The benchmark for equities was changed to better represent the equity securities held in the Portfolio. The Blended Index was changed to better reflect the new target allocations as of July 29, 2015.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
446

Allocation Balanced Portfolio Class 3 (unaudited) (continued)

From April 1, 2015 to July 28, 2015, the Portfolio underperformed the 50% S&P 500 and 50% Barclays U.S. Aggregate Bond benchmark. This performance can be attributed to four factors: strategic asset class allocations, tactical asset class allocations, and fund specific performance. Strategic asset class decisions detracted from performance, driven by a value tilt, exposure to smaller capitalization stocks, and international equity exposure. Mid cap value and small cap value were the largest detractors to performance. Large cap growth was the only equity asset class in the program that outperformed the S&P 500 Index. Within fixed income, diversification helped performance. Both TIPS and cash served to boost relative performance, posting positive returns in excess of the Barclays US Aggregate Bond Index. Tactical asset class allocation contributed slightly to performance. Fund specific performance detracted from overall performance. The Trust's Mid Cap Growth Portfolio had the strongest benchmark relative performance, while the Trust's Mid Cap Value Portfolio, SA Columbia Focused Growth Portfolio, and SA Columbia Focused Value Portfolio performed in line with their benchmarks. All other funds on the platform underperformed their stated benchmarks. Most notable underperformance was the Trust's Multi-Managed Income Portfolio. Within fixed income, the Trust's Diversified Fixed Income Portfolio and Real Return Portfolio both fell short of their benchmarks and were a small drag on overall performance.

From July 28, 2015 to March 31, 2016, the Portfolio underperformed the Blended Index of 30% Russell 3000 Index, 10% MSCI EAFE Index, and 60% Barclays U.S. Aggregate Bond Index. The Portfolio's overall asset allocation relative to the benchmark hurt performance primarily due to an overweight to international equities and underweight to fixed income. Within equities, exposure to large-cap U.S. equity underlying funds was neutral while exposure to small- and mid-cap U.S. equities held back returns relative to the Russell 3000 Index. Within fixed income, positions in high yield and inflation-protected securities held back returns relative to the Barclays U.S. Aggregate Bond Index. Fund specific performance was the primary detractor from overall performance as underlying funds in aggregate underperformed their fund-specific benchmarks. This was true of both equity and fixed income underlying funds. Within equities, the SA Columbia Focused Growth Portfolio significantly underperformed its index. Within fixed income, the Diversified Fixed Income Portfolio was the primary detractor due to its large weight in the Portfolio.

Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
447

SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 29, 2015

Filed under Rule 497(e)
Registration No. 333-08653

Diversified Fixed Income Portfolio
Multi-Managed Growth Portfolio
Multi-Managed Income Portfolio
Multi-Managed Income/Equity Portfolio
Multi-Managed Moderate Growth Portfolio

(each, a "Portfolio," and collectively, the "Portfolios")

Supplement dated March 16, 2016 to the Prospectus
dated July 29, 2015, as supplemented and amended to date

Effective immediately, Robert D. Burn, Managing Director and Fixed Income Portfolio Manager with Wellington Management Company LLP ("Wellington Management"), has joined the Portfolios' portfolio management team. In addition, Lucius T. Hill III, Senior Managing Director and Fixed Income Portfolio Manager with Wellington Management, will retire effective June 30, 2016. Accordingly, the prospectus is amended as follows:

The information with respect to Wellington Management in the portfolio manager table under the section entitled "Portfolio Summary: Diversified Fixed Income Portfolio — Investment Adviser" is deleted and replaced with the following:

Name	Portfolio Manager of the Portfolio Since		Title
Wellington Management
Campe Goodman, CFA		2013	Senior Managing Director and Fixed Income Portfolio Manager
Lucius T. Hill III*		2013	Senior Managing Director and Fixed Income Portfolio Manager
Joseph F. Marvan, CFA		2013	Senior Managing Director and Fixed Income Portfolio Manager
Robert D. Burn, CFA		2016	Managing Director and Fixed Income Portfolio Manager

* Mr. Hill will retire effective June 30, 2016.

* Not Part of Financial Statements *

448

SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 29, 2015

The information with respect to Wellington Management in the portfolio manager table under the section entitled "Portfolio Summary: Multi-Managed Growth Portfolio — Investment Adviser" is deleted and replaced with the following:

Name	Portfolio Manager of the Portfolio Since		Title
Wellington Management
Lucius T. Hill III*		1999	Senior Managing Director and Fixed Income Portfolio Manager
Campe Goodman, CFA		2004	Senior Managing Director and Fixed Income Portfolio Manager
Joseph F. Marvan, CFA		2010	Senior Managing Director and Fixed Income Portfolio Manager
Robert D. Burn, CFA		2016	Managing Director and Fixed Income Portfolio Manager

* Mr. Hill will retire effective June 30, 2016.

The information with respect to Wellington Management in the portfolio manager table under the section entitled "Portfolio Summary: Multi-Managed Income Portfolio — Investment Adviser" is deleted and replaced with the following:

Name	Portfolio Manager of the Portfolio Since		Title
Wellington Management
Lucius T. Hill III*		1999	Senior Managing Director and Fixed Income Portfolio Manager
Campe Goodman, CFA		2004	Senior Managing Director and Fixed Income Portfolio Manager
Joseph F. Marvan, CFA		2010	Senior Managing Director and Fixed Income Portfolio Manager
Robert D. Burn, CFA		2016	Managing Director and Fixed Income Portfolio Manager

* Mr. Hill will retire effective June 30, 2016.

* Not Part of Financial Statements *

449

SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 29, 2015

The information with respect to Wellington Management in the portfolio manager table under the section entitled "Portfolio Summary: Multi-Managed Income/Equity Portfolio — Investment Adviser" is deleted and replaced with the following:

Name	Portfolio Manager of the Portfolio Since		Title
Wellington Management
Lucius T. Hill III*		1999	Senior Managing Director and Fixed Income Portfolio Manager
Campe Goodman, CFA		2004	Senior Managing Director and Fixed Income Portfolio Manager
Joseph F. Marvan, CFA		2010	Senior Managing Director and Fixed Income Portfolio Manager
Robert D. Burn, CFA		2016	Managing Director and Fixed Income Portfolio Manager

* Mr. Hill will retire effective June 30, 2016.

The information with respect to Wellington Management in the portfolio manager table under the section entitled "Portfolio Summary: Multi-Managed Moderate Growth Portfolio — Investment Adviser" is deleted and replaced with the following:

Name	Portfolio Manager of the Portfolio Since		Title
Wellington Management
Lucius T. Hill III*		1999	Senior Managing Director and Fixed Income Portfolio Manager
Campe Goodman, CFA		2004	Senior Managing Director and Fixed Income Portfolio Manager
Joseph F. Marvan, CFA		2010	Senior Managing Director and Fixed Income Portfolio Manager
Robert D. Burn, CFA		2016	Managing Director and Fixed Income Portfolio Manager

* Mr. Hill will retire effective June 30, 2016.

* Not Part of Financial Statements *

450

SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 29, 2015

In the section entitled "Management — Information about the Subadvisers," under the subheading Wellington Management Company LLP (Wellington Management), the information with respect to the Fixed Income Component of the Multi-Managed Portfolios and the Diversified Fixed Income Portfolio is deleted in its entirety and replaced with the following:

The Fixed Income Component of the Multi-Managed Portfolios is managed by Campe Goodman, CFA, Lucius T. Hill III, Joseph F. Marvan, CFA, and Robert D. Burn, CFA. Mr. Goodman, Senior Managing Director and Fixed Income Portfolio Manager of Wellington Management, joined the firm as an investment professional in 2000. Mr. Hill, Senior Managing Director and Fixed Income Portfolio Manager, joined the firm as an investment professional in 1993. Mr. Hill will retire effective June 30, 2016. Mr. Marvan, Senior Managing Director and Fixed Income Portfolio Manager of Wellington Management, joined the firm as an investment professional in 2003. Mr. Burn joined the firm as an investment professional in 2007.

The Diversified Fixed Income Portfolio is managed by Campe Goodman, Lucius T. Hill III, Joseph F. Marvan, and Robert D. Burn. Mr. Hill will retire effective June 30, 2016.

Capitalized terms used herein but not defined shall have the meanings assigned to them in the Prospectus.

Version: Combined Master

Please retain this supplement for future reference.

* Not Part of Financial Statements *

451

SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 29, 2015

Filed under Rule 497(e)
Registration No. 333-08653

Large Cap Value Portfolio
(the "Portfolio")

Supplement dated March 16, 2016 to the Prospectus
dated July 29, 2015, as supplemented and amended to date

Effective immediately, the table under the section entitled "Portfolio Summary: Large Cap Value Portfolio — Investment Adviser" is deleted in its entirety and replaced with the following:

Portfolio Managers

Name	Portfolio Manager of the Portfolio Since		Title
SAAMCo
Timothy Campion		2012	Lead Portfolio Manager
Kara Murphy		2013	Co-Portfolio Manager
Andrew Sheridan		2013	Co-Portfolio Manager
American Century
Brendan Healy, CFA		2015	Vice President and Portfolio Manager
Brian Woglom, CFA		2016	Vice President and Portfolio Manager
Wellington Management
Ian R. Link, CFA		2008	Senior Managing Director and Equity Portfolio Manager

In the section entitled "Management — Information about the Subadvisers," under the subheading American Century Investment Management, Inc. ("American Century"), the second paragraph is deleted in its entirety and replaced with the following:

A portion of the Large Cap Value Portfolio is managed by Brendan Healy and Brian Woglom. Mr. Healy, Vice President and Portfolio Manager, joined American Century in 2000 and became a portfolio manager in 2004. He has a bachelor's degree in mechanical engineering from the University of Arizona and an MBA from the University of Texas — Austin. He is a CFA charterholder. Mr. Woglom, Vice President and Portfolio Manager, joined American Century in 2005 as an investment analyst and became a portfolio manager in 2012. He has a bachelor's degree from Amherst College and an MBA from the Ross School of Business, University of Michigan. He is a CFA charterholder.

Capitalized terms used herein but not defined shall have the meanings assigned to them in the Prospectus.

Version: Combined Master

Please retain this supplement for future reference.

* Not Part of Financial Statements *

452

SEASONS SERIES TRUST

VOTING PROXIES ON TRUST PORTFOLIO SECURITIES

A description of the policies and procedures that the Trust uses to determine how to vote proxies related to securities held in the Trust's Portfolios which is available in the Trust's Statement of Additional Information, may be obtained without charge upon request, by calling (800) 445-SUN2. This information is also available from the EDGAR database on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.

PROXY VOTING RECORD ON TRUST PORTFOLIO SECURITIES

Information regarding how Seasons Series Trust Portfolios voted proxies related to securities held in Seasons Series Trust Portfolios during the most recent twelve month period ended June 30 is available, once filed with the U.S. Securities and Exchange Commission, without charge, upon request, by calling (800) 445-SUN2 or on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.

DISCLOSURE OF QUARTERLY PORTFOLIO HOLDINGS

The Trust is required to file its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for its first and third fiscal quarters on Form N-Q. The Trust's Forms N-Q are available on the U.S. Securities and Exchange Commission's website at www.sec.gov. You can also review and obtain copies of the Forms N-Q at the U.S. Securities and Exchange Commission's Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330).

This report is submitted solely for the general information of shareholders of the Trust. Distribution of this report to persons other than shareholders of the Trust is authorized only in connection with a currently effective prospectus, setting forth details of the Trust, which must precede or accompany this report.

453

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PRESORTED STD
U.S. POSTAGE PAID
MERRILL
CORPORATION
ZIP CODE 10105

ANNUITY SERVICE CENTER
P.O. BOX 15570
AMARILLO, TX 79105-5570

CHANGE SERVICE REQUESTED

J1906AR.12 (5/16)

Item 2. Code of Ethics.

Seasons Series Trust (the “registrant”) has adopted a Code of Ethics applicable to its Principal Executive and Principal Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002.  During the fiscal year ended 2016, there were no reportable amendments, waivers, or implicit waivers to a provision of the Code of Ethics that applies to the registrant’s Principal Executive and Principal Accounting Officers.

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that Allan Sher, Jane Jelenko and Garrett Bouton each qualify as audit committee financial experts, as defined in the instructions to Item 3(b) of Form N-CSR. Mr. Sher, Ms. Jelenko and Mr. Bouton are considered to be “independent” for purposes of Item 3(a) (2) of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

(a) – (d) Aggregate fees billed to the registrant for the last two fiscal years for professional services rendered by the registrant’s principal accountant were as follows:

	2015		2016
(a) Audit Fees	$	670,179	$	710,570
(b) Audit-Related Fees	$	0	$	0
(c) Tax Fees	$	116,781	$	114,640
(d) All Other Fees	$	0	$	0

Audit Fees include amounts related to the audit of the registrant’s annual financial statements and services normally provided by the principal accountant in connection with statutory and regulatory filings.  Tax Fees principally include tax compliance, tax advice, tax planning and preparation of tax returns.

Aggregate fees billed to the investment adviser and Adviser Affiliates (as defined below in Item 4(e)) that are required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X for the last two fiscal years for services rendered by the registrant’s principal accountant were as follows:

	2015		2016
(b) Audit-Related Fees	$	0	$	0
(c) Tax Fees	$	0	$	0
(d) All Other Fees	$	185,201	$	401,110

(e) (1) The registrant’s audit committee pre-approves all audit services provided by the registrant’s principal accountant for the registrant and all non-audit services provided by the registrant’s principal accountant for the registrant, its investment adviser and any entity controlling, controlled by, or under common control with the investment adviser (“Adviser Affiliates”) that provides ongoing services to the registrant, if the engagement by the investment adviser or Adviser Affiliates relates directly to the operations and financial reporting of the registrant. The audit committee has not presently established any pre-approval policies and procedures that permit the pre-approval of the above services other than by the full audit committee. Certain de minimis exceptions are allowed for non-audit services in accordance with Rule 2-01(c)(7)(i)(C) of Regulation S-X as set forth in the registrant’s audit committee minutes.

(2) No services included in (b)-(d) above in connection with fees billed to the registrant or the investment adviser or Adviser Affiliates were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) The aggregate fees billed for the most recent fiscal year and the preceding fiscal year by the registrant’s principal accountant for non-audit services rendered to the registrant, its investment adviser, and Adviser Affiliates that provides ongoing services to the registrant for 2015 and 2016 were $450,926 and $725,533, respectively.

(h) Non-audit services rendered to the registrant’s investment adviser and any Adviser Affiliates that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X were considered by the registrant’s audit committee as to whether they were compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

Included in Item 1 to the Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item 10.

Item 11. Controls and Procedures.

(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.

(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a) (1) Code of Ethics applicable to its Principal Executive and Principal Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act 2002 attached hereto as Exhibit 99.406.Code of Ethics.

(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

(3) Not applicable.

(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a2(a)) and Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Seasons Series Trust
By:	/s/ John T. Genoy
John T. Genoy
President
Date: June 8, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ John T. Genoy
John T. Genoy
President
Date: June 8, 2016
By:	/s/ Gregory R. Kingston
Gregory R. Kingston
Treasurer
Date: June 8, 2016